Managed deals could be next, but market's potential is expected to be limited
ABSTRACT We present a unified framework to study the effect of the correlation between interest rate volatility and counterparty default probability on the credit risk of collateralized interest rate...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Correlation articles
Counterparty correlations are no substitute for due diligence, argues Kaminski
Two ubiquitous risk analytics are easily and often misunderstood
How much margin is missing in sovereign swaps? The stress test had the answer
EU stress tests showed €34.5 billion notional legacy book
Fears relationship between credit indexes and constituents becoming more tenuous
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Idea that bank retreat loosens correlation ‘doesn’t make any sense’
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.