Credit risk
Fannie Mae says FHFA's margin rules would drive up hedging costs
US mortgage giant says segregating variation margin will hurt FHFA- and FCA-regulated entities, and create new funding obligations for swap dealers
Structured credit landscape revives the basics
Credit goes back to basics
Credit risk models alone do not capture sovereign risk – Nicholas Spiro profile
The sovereign specialist
Derivatives users face tough choices on CCPs
A clear path?
Client clearing poses acute liquidity risks
Margin jump risk
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
Mission impossible for ratings
Mission impossible for ratings
Industry chiefs call for Asian credit rating agency; 'big three' too ‘US-centric’
Senior industry figures in Asia, including outgoing SFC chief Martin Wheatley, say Asia needs an internationally recognised ratings agency to compete with Fitch, Moody’s and Standard & Poor’s.
Dealers push for further CVA amendments under Basel III
Adjusting the adjustments
Italy is real eurozone endgame, says top credit quant
Eurozone can finance a Spanish bail-out, but an Italian default is the real test of common currency’s survival, says NYU's Edward Altman
Chinese banks stake their future on SME loans
The SME revolution
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Market analysts consider impact of resolution regimes on CDS market
Resolution regimes rule, OK?
New regulatory blitz threatens future of credit rating agencies
The SEC and EU have announced tough measures designed to limit the influence of credit ratings on the investment process. Credit magazine talks to the agencies about their efforts to restore their reputations, and asks investors about what role rating…
Rating the future: the investors’ perspective
Regulators have had their say; the agencies themselves have implemented changes to methodologies and processes; but how would investors fix the credit ratings business?
Real-time counterparty credit risk management in Monte Carlo
Real-time counterparty credit risk management in Monte Carlo
Credit ratings: the legal perspective
Securitisation lawyer Jonathan Walsh explains what regulatory and legal changes will mean for the rating agencies
Profile: Diana Higgins, Director Crediten
Turning points: Diana Higgins, Director, Crediten
Collateral: look, but don’t touch
Collateral: look, but don’t touch
New Zealand banks still prone to offshore wholesale funding risks
The asset quality and capitalisation of New Zealand banks remains strong but dependence on wholesale funding is still a risk, say credit rating agencies.
Quants continue to criticise counterparty risk measures
Adjusting the adjustments
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures