Credit 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 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...
Overrides of credit ratings are important correctives of ratings that are determined by statistical rating models. Financial institutions and banking regulators agree on this because, on the one hand,...
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.
More Credit risk articles
Calibration of structural and reduced-form recovery models
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....
Volume 8/Number 4, Winter 2012/13
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...
Insurers gear up for new derivatives clearing rules
Derivatives costs are set to rise on the back of new collateral management rules. Blake Evans-Pritchard looks at how life insurers are preparing
Return of the DPCs
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....
New standard CSA to launch before end of the year
New standard CSA aims to reduce valuation disputes by eliminating the embedded optionality that exists in the current document
Sponsored video: Regulatory impact on collateral
New regulation will require more derivatives participants to post more collateral than ever before. In this video interview, David Little of Calypso discusses some of the implications
The impossibility of DVA replication
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...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
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.
Related conferences
-
What’s next for fixed-income ETFs and structured products?
UK, 3rd Jul 2013
-
Quant Congress USA
USA, 17th - 19th Jul 2013
-
Liquidity and Funding Risk
UK, 24th - 25th Sep 2013
-
The OTC Derivatives Markets Conference
UK, 26th Sep 2013
-
Risk USA
USA, 21st - 24th Oct 2013
Related training
Updating your subscription status 
Risk IPad Apps
Email alerts
Weekly poll
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.
- Finding the Right Path to Hedge Accounting
- Don’t get left behind – how financial services need to consider their IT infrastructure
- Rebuilding Customer Trust in Retail Banking
- How customer-centric transformation can lead to an increase in revenue and streamline operations
- Anti-Money Laundering when transaction monitoring is not sufficient
Related Jobs
