Kevin Liddy - Counterparty Credit Risk for Derivatives

Counterparty credit risk for derivatives: Lessons learned from recent market observation by Kevin Liddy
Even in a centrally cleared, collateralised world, banks’ risk exposure to derivatives markets remain significant. “Know your risk” is as important to Boards, EXCOs and CROs as ever. The BTRM Faculty notes how unusually large price movements in a volatile market can generate increased counterparty credit risk on derivative exposures that are potentially "unseen” until it’s too late. The webinar will discuss:
Losses from the forced unwinding of collateralised equity swaps when a counterparty defaults can be a multiple of what is predicted by commonly used risk models and covered by initial margin;
The spike in energy prices in August 2022 showed that banks had, as clearers of their clients, many billions at risk;
The rise in UK gilt yields in September 2022 caused difficulties for UK pension funds to meet their margin requirements arising out of their derivatives positions and required the BoE to intervene
Large derivatives counterparty concentrations can be difficult to detect. We present a “lessons learned” for bank executives to incorporate into their risk management processes.

[@smrititiwari8243]

Great coverage of default events with clear explanation, Thank you !

[@basitsaleem4262]

Very insightful especially in an era of heightened market vol. Can we expect a similar webinar on Prime Bokerage and its related risk for Banks?

[@FocusProj]

Great presentation, explaining complex ideas in clear English

[@carrad123456]

Rare content thanks.