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Counterparty credit risk remains a multi-faceted problem and over the past few years institutions have had to approach it in stages. Since it is such a complex issue to address institutions are increasingly looking to vendors for solutions. The issues of massive data management, scalable technology infrastructure and advanced credit analytics have been looked at ad infinitum, however the recent crisis has brought a renewed focus to the subject and increasingly vendors are leading the way with innovation and best practice.
If you roll back the calendar a few years, you would return to an era where the retail/commercial banks addressed the problem from one angle and investment banks looked at it from a derivatives perspective. As the necessity to free up capital grew within the strongest of these institutions as a result of an increase in consolidation, the industry was introduced to innovative processes and increasingly the onus of responsibility was shifted onto senior management.
With this rise in capital requirements came changes to policy and general procedures for analysing counterparty risk management. As it matured, the management of counterparty risk moved towards a much more active role that included hedging. As responses to the crisis in terms of dramatically increased capital requirements and significant responsibility for credit value shifted, newly formed internal groups or third parties, all charged with the responsibility of pricing and managing counterparty risk for an organisation started to take greater control.
This increased need to free up capital coupled with the increase in capacity resulted in the hedging and pricing of counterparty credit risk along with the hedging of future exposure levels and capital reserves. This is turn allowed for an overall increase in trading capacity with counterparties.
The hedging and pricing of counterparty credit risk appealed to many, as it collapsed credit risk management into the more mature and better understood market risk practice and it quickly became a highly accepted method for incorporating the credit variable into pricing models. Counterparties that had sufficient outstanding debt to set-off against derivative exposures were specially selected. Instances where the bank owed the counterparty were particularly attractive, as those bonds yielded a higher return and could be marked up to face value in the event of default. The banks gained a distinct competitive advantage when they priced derivatives in this manner since the CVA reduced the difference between what they saw as "risky" versus those that were deemed to be "risk-free", with minimal capital charge due to the hedge being replicated.
A few institutions considered transitioning as much of their credit portfolio as possible into this market model, using bilateral set off wherever possible and the unilateral option model for everything else. The idea seemed reasonable at the time - but was it...?
With over 90% of corporate derivatives being simple interest rate and cross-currency swaps, using risky discounting for each product type was certainly credible at the time. Trades that were actively managed in this way were simply tagged and diverted from the reserve model. The ultimate undoing for this model was that, under the close scrutiny of today, you would have the marginal price under the unilateral model being consistently higher than under the simulation model.
The other huge weakness in this model was in the practicality of having each trading desk manage credit risk or be willing to transfer it to a central desk. The traders needed credit expertise in addition to knowledge of the markets they traded. As well as all of that, the systems being used had to be substantially upgraded. This raised flags of a different nature for firms, as they tried to make sense about exactly where credit risk management responsibility should lie.
When the financial crisis struck with all its vengeance, you could quickly see that firms that had an integrated approach to credit risk management survived while those that had a fragmented approach struggled. Improving counterparty risk management processes is a global priority and the gap is generally shrinking. For some banks the new accounting requirements have caused them to revisit the front-office market model with its known deficiencies, as a stop-gap measure. However, those firms are still struggling and increasingly they are turning to vendors to assist them in the implementation of complex real-time CVA simulation.
But with many banks still trying to implement simulation models across all products, there are some who are flourishing. Holding portfolios where 80% of their counterparty risk falls into 20% of their business, they are concerning themselves with other items. Increased legislation such as Basel III are pushing these institutions on elements such as clearing but again, these will evolve as we move forward. And as they do move forward, those large dealers will need to more actively manage their capital. Vendors are increasingly providing solutions that are transparent and cost-effective. Addressing the ever-changing landscape of counterparty collection with solutions that meet security and accountability levels for all parties is why today's vendors are uniquely positioned to impact everyone's future.
Kevin J. Maxwell
Marketing Manager
ValueLink Information Services Ltd.
Website: http://www.valuelink.co.uk
ValueLink provides full Valuation data services, validated Corporate Actions and OTC Valuation Counterparty Collection services to an ever growing host of blue chip clients. Our unique provision of specialised, validated managed data solutions provide flexible, client focused and cost effective solutions that meet the changing demands of our clients and the investment market
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