This paper examines the credit default swap (CDS) market's reaction to operational risk events in the banking industry, and thus addresses the question of the extent to which operational risk affects the...
Volume 8, Issue 4, 2013
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looki...
More Default risk articles
Single bank default could affect multiple CCPs, leading to crippling default contribution for existing members and a chain of bank failures
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...
In this paper, the theory of pricing to acceptability developed for incomplete markets is applied to marking one's own default risk. Following the work of Heckman, it is observed that assets and liabilities...
Banco de España is one of a number of European supervisors allowing its banks to ignore a Basel 2.5 requirement to model default risk on government bonds
Aircraft, shipping and project finance all set to lose out as banks seek to constrain capital consumption, panellists warn
HKEx plans to beef up its risk management following the bankruptcy of Lehman Brothers in September 2008 by introducing margin rules and seeking more funds from cash clearing members. The move would ...
Defaults by stealth are rare
Market analysis: Correlation and default
The current low default rate in the high yield market does not tell the full story, the executive vice-president and portfolio manager at Pimco tells Credit.
Investors in Chinese corporate bonds may struggle to recover their money in the event of a bankruptcy, according to FS Asia Advisory.
RBC Capital Markets survey say Greece most likely country to leave the eurozone.
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.