swaps

Basel III and Beyond: Part 1. Optimization with On-Demand Risk Insights

“The capital consumption of credit counterparty risk has become an issue for banks,” said Rita Gnutti, Head of Internal Model Market and Counterparty Risk at Intesa Sanpaolo. She was the first of two speakers addressing the impact of regulatory developments on counterparty risk assessment. She spoke to a webinar audience arranged by the Global Association of Risk Professionals on June 27, 2013. Gnutti first outlined the new Basel III regulatory framework of credit counterparty risk (CCR), then she described its calculation using internal model methodology (IMM), and third she described the computing and back-testing of CCR carried out by her […]

Evolution of the OTC Swaps Markets. Part 2: Lessons Learned

The scramble to meet the Phase 1 deadline of new regulations on swaps “was a significant learning experience,” said Bis Chatterjee, Global Head of E-Trading, Credit Markets at Citi. He was the second speaker in a webinar panel organized by the Global Association of Risk Professionals (GARP) on May 14, 2013. The deadline that came into effect March 11, 2013 pertained to the Dodd-Frank Act governing over-the-counter (OTC) swaps. (Two more phases will follow; see Part 1 for details.) There were challenges first of all, Chatterjee said, in the self-identification of market participants in Phase 1. Second, even if you […]

Evolution of the OTC Swaps Markets. Part 1: “Futurization” of Swaps

Recent reforms to the swaps market can be thought of as “the futurization of swaps,” said Nathan Jenner, COO Fixed Income E-Trading at Bloomberg. He was addressing a webinar audience on May 14, 2013 as the first speaker in a panel organized by the Global Association of Risk Professionals (GARP) on the evolution of the market for over-the-counter (OTC) swaps. Five years ago, “derivatives were perceived as a catalyst in precipitating” the financial crisis of 2007-08, said Jenner. For example, it wasn’t immediately apparent who were all the counterparties to the AIG swaps. Pricing was “murky,” he said, and risk […]