Credit risk
New perceptions: how insurers must raise their game in credit risk management...
The recent financial crises have changed the way insurers and asset managers view credit risk, revealing a fundamental misunderstanding of the risk in many companies’ portfolios. Risk managers have had...
Buy-side firms argue new regulations will create a collateral squeeze – despite claims by a Bank of England official that the fears are overplayed
With the frequency and volume of collateral calls set to increase dramatically, banks and buy-side firms alike are investing in new systems to help them manage their stock of assets in an efficient way....
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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
OTC Derivatives Clearing Summit Europe: No need to panic about collateral...
Isda estimates that mandatory clearing and margin could require the posting of up to $30 trillion of initial margin have been inflated, not least because of a likely exemption for forex swaps and forwards, according to a senior BoE official
Asia Risk Congress: Collateral requirements will hit derivatives trading...
Panellists at Asia Risk Congress say collateral management rules will reduce activity in areas such as structured products
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...
Using credit valuation adjustment to set limits
In their previous article, Carlos Blanco and Michael Pierce introduced the concept of credit valuation adjustment (CVA). In this next instalment, they explore CVA allocation methods and discuss alternative structures using CVA to set limits, credit charges...
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive
Local credit rating agencies offer alternative to ‘big three’
As Asian bond markets have developed, the need for reliable and credible ratings has increased – but are Asian credit rating agencies up to the task?
Recursive formulas for the default probability distribution with applications...
The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly difficult to obtain its whole distribution. We use a financial...
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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