Credit risk
Wrong-way risk, credit and funding
The risk of exposure and counterparty default probability both increasing – so-called wrong-way risk – is usually understood in terms of the correlation between the two variables. But this approach...
Family wealth funds are dumping hedge fund positions and taking control of their own investment decisions. But as some move into direct lending – to replace retreating banks – they face new risk management...
Deal is said to pay a coupon of 11% for first-loss protection – which some investors say is too low
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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
Cutting Edge introduction: Goodwill for DVA
The debit valuation adjustment is a controversial concept when applied to derivatives liabilities, but it has won accountants round. Further thought shows it could be applied more broadly – even to purely positive assets. Laurie Carver introduces this...
Effectiveness of new collateral forum questioned
Euroclear questions whether a new liquidity forum that brings together five central securities depositories will be anything other than a talking shop
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...
Post-MF Global segregation reforms spark fierce debate
The failures of brokers MF Global and PFGBest have shaken the faith of commodity hedgers in their futures commission merchants (FCMs). But are regulators doing enough to protect customers from another FCM implosion? Alexander Osipovich reports
European swap margin rules won’t be retroactive, says Esma
Trades will not become subject to initial margin rules part-way through their life, rule-making body tells Risk
Credit default swap spreads, fair-value spreads and interest rate dynamics...
This paper examines the empirical relationship between credit risk and interest rate risk. We use credit default swap (CDS) spreads as our measure of credit risk. Also, we control for the variation in the so-called fair-value spread that combines multiple...
Optimal structuring of collateralized debt obligation contracts: an...
The objective of this paper is to help a bank originator of a collateralized debt obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective is to select attachment/detachment points...
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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