The proliferation of credit derivatives has given rise to the widespread use of collateralization—posting collateral against the risk of default. But as Saskia Scholtes reports, this practice may be creating its own risks.
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult.
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult. Craig Friedman and Sven Sandow tackle the problem by maximising the creditor’s utility function, constructed...
For credit portfolio managers, the priority is to properly incorporate recovery rates into existing models. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates to depend on the idiosyncratic part of a borrower’s asset return,...
Recovery rates - Cutting edge
Domestic banks and corporate banking customers in central and eastern Europe could have trouble adapting to the changes the revised Basel Accord would have on their economies.
BASEL - The so-called w -factor that bankers feared could result in double-counting of op risk under the Basel II bank capital accord will be removed from the capital charge provisions of the accord, global banking regulators said in September.
Basel’s proposals for banks involved in the repo markets have caused widespread dismay. As a result, trade organisations around the world are petitioning the committee for a wholesale rethink.
Christine Stanschus and Michael Clarke examine the potential impact on collateralisation of the proposed new Basel Capital Accord, and outline the top five things that collateral managers should do to gain maximum regulatory capital benefits.
A definition of op risk should embrace the linkages with market and credit risk, argues Ken Swenson.
Masterclass – with JP Morgan
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