Credit risk
Path-consistent wrong-way risk
A copula-based model for wrong way risk
How to hedge CVA without being hurt
A new product could smoothe the gap between capital and accounting rules
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Basel exposure limits raise questions for client clearing
CCP exposures not in scope of new regime, but clearing members are
Stress tests prompt NPL rethink
Banks expected to sell NPLs to improve stress-test resilience
Growing P2P lenders confront "profound" risks
UK platforms worry about rogue rival services with weak credit controls
Options for collateral options
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables independent, this can be simplified. Alexandre…
The simple link from default to LGD
A new approach to incorporating loss given default into models
Banks have done too little, for too long on counterparty data
Regulators recently published the findings of a study of counterparty risk data at the world’s largest banks – it makes for depressing reading, says David Rowe, and is symptomatic of deeper problems plaguing the field of enterprise risk management.
Hedge funds, leverage and mortgages: why Fannie and Freddie's new deals worry some experts
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortgage finance requires a more stable source of capital. By…
Supervisors slam banks over 'top 20' counterparty results
After five years of work, a group of 19 big banks still get a failing grade from supervisors on their ability to pull together and report counterparty exposures. Is it all a question of cost? Fiona Maxwell reports
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
Credit portfolio manager of the year: HSBC
HSBC has attempted to improve the accuracy of its credit portfolio economic capital forecasting by extending its model beyond a one-year horizon
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
Not too big to fail: Has US crossed bank resolution Rubicon?
Not too big to fail?