Credit risk
Deriving consensus ratings of the big three rating agencies
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given...
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market...
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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
Basel Committee seeks netting-friendly replacement for CEM
Consultation on alternative to much-criticised current exposure method could start in June
Europe edges towards three-pronged CVA exemption
CRD IV set to exempt trades with corporates, sovereigns and pension funds
South Africa's securities lenders seek collateral clarity
Collateralisation in South Africa can be achieved using either a pledge or outright transfer – but the former does not provide complete protection and the latter can attract tax. The securities lending industry is pressing for an overhaul. Clive Davidson...
CLO market appeals to yield-hungry investors
Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong appetite for the paper
Cutting Edge introduction: Wrong-way risk and the limits of correlation...
Traditional models for wrong-way risk focus on the correlation between default and exposure – a blunt tool for a tail risk. Alternatives are thin on the ground, but a scenario-based approach may provide some fresh insight. Laurie Carver introduces this...
ABN Amro CPDO panned by Australian judge for ‘deceptive and negligent’...
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
DVA for assets
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend on the creditworthiness of the firm. Chris Kenyon...
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
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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