The post-Archegos risk model rebuild begins… slowly
New research on the topic may aid banks as they start to overhaul counterparty risk models
The trial in a US court of Archegos founder Bill Hwang on fraud charges may have concluded with a guilty verdict in July, but the echoes of the collapse of his former family office in 2021 continue to reverberate through bank trading desks and risk teams.
The grizzly episode, which cost banks more than $10 billion, has shed light on how derivatives dealers manage the risk of counterparty default. Particular attention is on the use of potential future exposure, or PFE, as an effective measure to
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