Credit risk

Taking it slow

Hong Kong's banks are, for the most part, targeting the standardised approach outlined in the new Basel capital Accord, but it is hoped that this will act as a catalyst for the further improvements in risk management.

Japanese banks: Turning up the heat

Japan's banks have faced a gruelling few months in the run-up to the fiscal year-end, with a plunge in equity prices putting severe pressure on capital ratios. But a further crisis may be just around the corner, writes Nick Sawyer.

Band of brothers

Some companies are assessing the need to share pooled information to manage clients more effectively, but the idea is unlikely to be welcomed by hedge funds

Derivatives disclosure calls mount

Warren Buffett's stinging critique of the derivatives business in March represents the latest call for more derivatives disclosure. But despite some notable moves in this direction, most financial institutions remain stubbornly opaque.

Enhancing CreditRisk+

Of the various analytical approaches to credit portfolio modelling, CreditRisk+ has become the most popular due to its tractability. However, the model suffers from the restrictive assumption of sector independence. Moreover, the recursion relation for…

Credit ensembles

Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…