Credit risk
Coarse-grained CDOs
While analytical models of credit portfolio risk using conditional independence have been one of the most promising areas of recent research, they often involve granularity assumptions that are violated in CDO reference portfolios. Here, Michael Pykhtin…
A new look at credit risk capital
In the second of two articles on Standard & Poor’s refinement of analytical methodology, John Kennedy discusses an updated approach to evaluating credit risk capital
Killing two birds with one stone
Counterparty risk
The modelling business
Modelling
Crossovers: mind the gap
Credit of the month
Risk manager of the year – Mark Ritter, UBS Warburg
The Risk Awards 2003
What lies beneath?
Credit derivatives
RiskNews review
The leading stories from RiskNews
Software survey 2003
Survey
The role of correlation
Risk analysis
Enterprise-wide risk management: Knitting together bank risks
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
ST Asset Management mulls CDOs and plans to boost headcount
ST Asset Management (STAM) is planning to increase its staff – which is currently 19-strong – by one third throughout next year, in a push to become a key participant in Asia’s structured finance market, according to Chong Jiun Yeh, a senior vice…
ABN Amro to close A$1.1 billion Gibraltar synthetic CDO today
Dutch banking group ABN Amro expects to close its Gibraltar synthetic collateralised debt obligation (CDO) referenced on a portfolio of global credit default swaps worth a notional amount of A$1.1 billion today, Paul Cordeiro, ABN Amro's Sydney-based…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
The pension threat to credit quality
Pension deficits
Tied up in red tape
Spain focus
Down the corridor
Range accrual notes
Setting out a strategy
Case study – Kepco
SMBC launches synthetic deal
New angles
RiskNews review
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Lehman closes $500 million Asian investment-grade arbitrage synthetic CDO
Lead manager Lehman Brothers said today it has closed a $500 million five-year Asian investment-grade arbitrage synthetic collateralised debt obligation (CDO) through special-purpose vehicles Asia IG CDO Limited and Asia IG CDO LLC. The portfolio manager…
The luck of them
Ireland has become well-known as the home for establishing offshore hedge funds, thanks to its specialist listing regime