Credit risk
Despite MF Global, firms face weaker OTC safeguards
In bilateral over-the-counter trades, some buy-side firms insist on physical segregation of their collateral – their assets are placed with a third-party custodian. But the incoming US regime will not...
Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
This paper presents a simple and effective model of systematic loss given default. It is simple in that it uses only parameters appearing in standard models. It is effective in that it survives statistical...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Credit risk articles
New risk analysis tools with accounting changes: adjusted Z-score
Altman's Z-score has been used for several decades to calculate bankruptcy probability. However, the conventional Z-score fails to consider possible earnings manipulations that could change the fundamental accounting figures and their implications for...
The impact of counterparty risk on credit default swap pricing dynamics...
As observed throughout the financial crisis in 2008, credit default swaps (CDSs) are exposed not only to the credit risk of the underlying reference entity but also to the counterparty risk of the protection seller. Conducting a panel regression analysis...
Pricing corporate loans under the risk-neutral measure
Corporate loans trade infrequently, and most methods for discounting loan cashflows ignore the effects of default and prepayment and are unable to value revolving loans. To improve loan valuation and risk management, we develop a risk neutral model to...
Approximating default probabilities with soft information
We present a new structural credit model that is able to incorporate available soft information, diverse qualitative data and subjective opinions on managerial ability to handle credit events within approximations of default probabilities. We conduct...
Volume 8/Number 1, Spring 2012
First International Conference on Credit Analysis and Risk Management Austin Murphy from Oakland University On July 21-23, 2011 the First International Conference on Credit Analysis and Risk Managementwas held at Oakland University. The conference,...
Isda working group close to finalising standard CSA
Latest proposal extends number of silos from five to 17, mirroring approach taken by LCH.Clearnet
Risk Annual Summit: DVA hedging creates systemic risk, says Brigo
King's College professor of finance Damiano Brigo says regulators should clamp down on dealers looking to hedge debit value adjustment gains by selling CDS protection on closely correlated names
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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