Credit risk
Addendum to “Partial differential equation representations of derivatives...
This addendum corrects an error in the notation of earlier versions of our paper "Partial differential equation representations of derivatives with bilateral counterparty risk and funding costs" that appeared...
In 2005 the internal-ratings-based (IRB) approach of Basel II was enhanced by a "treatment of double default effects" to account for credit risk mitigation techniques such as ordinary guarantees or credit...
A panel of experts from BNP Paribas, BNY Mellon and Euroclear discuss the opportunities for collateral management, the availability of eligible collateral, and the impact of the sovereign debt crisis and...
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A survey of loan credit default swap pricing models
The loan credit default swap (LCDS) was originally designed as an alternative to the traditional credit default swap (CDS) due to its effectiveness in hedging the underlying loans. However, there do not appear to be standard acceptable modeling approaches...
Collateralized credit default swaps and default dependence: implications...
We study the pricing of a continuously collateralized credit default swap (CDS). We make use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we find that, even under a perfect collateralization, there exists...
Volume 8/Number 3, Fall 2012
Ashish DevJPMorgan Chase, New York In this issue of The Journal of Credit Risk we present two research papers and two technical reports. The first research paper is "Recursive formulas for the default probability distribution with applications in...
Credit valuation adjustment for energy and commodity derivatives
This is the first of a two-part series on credit valuation adjustment (CVA). In this piece, Carlos Blanco and Michael Pierce introduce the concept of CVA and show how to calculate CVA at the trade and portfolio levels
OTC Derivatives Clearing Summit: Buy side bemoans ‘lowest common denominator’...
Pension and insurance firms complain CCPs treat them the same as hedge funds
Industry slams 'unworkable' Esma proposals on indirect clearing
Clearing members would be forced to guarantee trades executed by their clients' clients - on terms the member firms have not agreed
Downgraded banks struggle to find replacement swap counterparties on...
A number of downgraded banks are required to find swap counterparty replacements for over 300 structured finance transactions – but this is proving difficult, with few candidates willing or able to step in
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
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How financial services need to consider their IT infrastructure
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