Asset manager seeking to remove collateral optionality - and pricing divergence - from thousands of CSAs
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...
More Credit risk articles
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...
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...
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...
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,...
Latest proposal extends number of silos from five to 17, mirroring approach taken by LCH.Clearnet
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
Market risk hedges should be recognised when calculating CVA capital charge, says HSBC market risk modelling head
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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