Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
EU lenders say both EBA proposals would distort capital requirements
Hedge funds target 10–12% returns on credit risk from unpaid invoices
More Credit risk articles
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
Method could provide early-warning system
Fund says securitisation practices should be tightened while spurring demand
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
Risk Awards 2015: French bank shared trade finance exposure with World Bank
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
CCP exposures not in scope of new regime, but clearing members are
Using a unique data set pooled from multiple US financial institutions, we empirically study the credit line usage of middle-market corporate borrowers. We find that defaulted borrowers draw down more...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.