Credit risk
UK annuity providers review credit risk strategies
With the implementation of Solvency II now almost certainly delayed for at least two years, UK annuity providers are beginning to reassess their credit asset allocation strategies, as they look to optimise...
In Germany, every bank wants to lend to the Mittelstand, but demand for credit is modest. As a result, interest rates on loans are falling, and some see a danger of bad lending practices making a comeback....
This paper examines determinants of creditor recoveries from defaulted debt instruments. First, we argue that to properly measure a debt instrument's relative position in a firm's debt structure, debt...
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More Credit risk articles
Latest Issue: Volume 9/Number 1, Spring 2013
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi...
OpRisk North America: Regulator warns industry to get implementation...
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
OpRisk North America: Financial crisis has elevated status of op risk...
Post-crisis, the value of op risk managers is clear, conference hears
Family offices find an appetite for credit risk
Family wealth funds are dumping hedge fund positions and taking control of their own investment decisions. But as some move into direct lending – to replace retreating banks – they face new risk management challenges. Peter Madigan reports
Central clearing: what obstacles remain for Asia?
Despite the deadline for introducing central clearing already passing, a number of questions are unanswered. Leading figures from around the region voice their concerns
Credit default swap spreads, fair-value spreads and interest rate dynamics...
This paper examines the empirical relationship between credit risk and interest rate risk. We use credit default swap (CDS) spreads as our measure of credit risk. Also, we control for the variation in the so-called fair-value spread that combines multiple...
Volume 8/Number 4, Winter 2012/13
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three research papers and one technical report. The issue's first research paper is "Bounds for rating override rates" by Dirk Tasche. This paper examines an...
Using market and credit risk analytics to strengthen performance
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This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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