Credit pricing
Credit
Published online only
Source: Risk magazine
The months that followed the German invasion of Poland in 1939 were quiet in western Europe at least. Troops and equipment were shunted from one place to another, plans were drawn up, the wheels of...
Published online only
Source: Risk magazine
They say the squeaky wheel gets the grease, and participants in South Africa's equity markets must have felt their squeaking had paid off in June, when the country's tax authorities not only halted plans...
Original headline:
Source: Risk magazine
Basel III has forced banks across the globe to look closely at how they price counterparty credit risk in derivatives trades. But some South African banks appear not to be charging for it rigorously, leading...
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More Credit pricing articles
Australian superannuation funds holding operational risk reserves
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Source: Operational Risk & Regulation
An Australian study by Mercer says 75% of super funds hold op risk reserves
Banks call for Basel III rewrite as QIS exercise ends
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Source: Risk magazine
The industry hopes the impact study will lead to a rewrite of proposed new rules on capital, liquidity and leverage.
Equity to credit pricing
Original headline:
Source: Risk magazine
The rapid growth of credit derivatives markets has highlighted the distinction betweenreduced-form and firm-value models of default. Here, George Pan presents a new,practitioner-tested version of the latter type, providing a closed-form formula linking...
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