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 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...
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.
More Credit risk articles
In current credit risk models, default probabilities and recovery rates are often treated independently. However, when the structural connection between these quantities is neglected, the risk of large portfolio losses can be underestimated considerably....
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three research papers and one technical report. The issue's first research paper is "Bounds for rating override rates" by Dirk Tasche. This paper examines an...
Derivatives costs are set to rise on the back of new collateral management rules. Blake Evans-Pritchard looks at how life insurers are preparing
They fell out of favour during the crisis, but derivatives product companies are set for a dramatic reappearance as banks seek to limit their collateral posting obligations – if regulators and counterparties can be persuaded of the benefits, that is....
Some have argued that the debit valuation adjustment – which measures the benefit to a bank from its own potential for default – is monetisable. They claim replication strategies involving the dealer buying its own bonds, or writing protection on...
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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