New rules aim to promote the market but banks still prefer the WMP route
Rules would require banks to allocate all securitisation exposure by individual, underlying obligor
More Credit risk articles
This paper analytically evaluates the expected loss and the nth moment of the loss distribution for a collateralized loan by focusing on the negative correlation between default intensity and collateral...
Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to contribute...
We propose a novel approach for the computation of the probability distribution of a counting variable linked to a particular kind of hierarchical multivariate copula function called a clusterized homogeneous...
When estimating loss given default (LGD) parameters using a workout approach, ie, discounting cashflows over the workout period, the problem arises of how to take into account partial recoveries from incomplete...
Inconsistent rules are damaging financial intermediation, says senior Japanese banker
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
US clearing rules do not exempt SPVs, but industry is split on whether other exemptions - for unclearable swaps - would apply
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
The move by European authorities to exempt European banks from holding CVA capital should be matched by regulators in Asia, according to senior bankers in the region
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.