Double default risk
We show that the saddlepoint approximation method for quantifying the impact of undiversified idiosyncratic risk in a credit portfolio is inappropriate in the presence of double-default effects. Specifically,...
In 2005 the internal-ratings-based (IRB) approach of Basel II was enhanced by a "treatment of double default effects" to account for credit risk mitigation techniques such as ordinary guarantees or credit...
More Double default risk articles
“No-one really appreciated the complexity of the whole [Basel Accord] process,” says Charles Dallara, managing director at the Institute of International Finance (IIF). “It is only in the last nine months that regulators and bankers have woken up...
It has been more than six years in the making, but the final text of the Basel II framework has arrived. The Basel Committee on Banking Supervision published the text at the end of June to a mix response from the financial services industry.
The UK's Financial Services Authority (FSA) recently released feedback on responses to Discussion Paper 11, which focused on the effects of risk transfer between the banking industry and the insurance industry via credit derivatives and related products,...
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.
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