Article
What supervisors now expect of counterparty credit risk
For heads of counterparty risk: the ECB's 43 sound practices, the 2025 exploratory scenario exercise and the Archegos lesson, translated into what the exposure engine has to do before the trade and when markets move.
Article, 5 pages, PDF. Sent on request, to a company email.
What it covers
- After Archegos the ECB set out 43 sound practices and made counterparty credit risk a supervisory priority through 2026
- The practices translate into four capabilities the exposure engine must have before the trade and when markets move
- Batch systems fail the test by design: the number exists, but a day late
