Double default risk
Failure of the saddlepoint method in the presence of double defaults
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,...
Farid AitSahlia Warrington College of Business Administration, University of Florida Portfolio diversification and asset pricing are central aspects of risk management. Together, they constitute the...
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...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Double default risk articles
Basel harmony still a long way off, notes IIF
“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...
Basel II Alert - Highlight of Critical Changes
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.
Bank associations hit out at Basel II failings
International banking bodies have hit out at perceived failings in the final version of the Basel II capital Accord, published by the Basel Committee on Banking Supervision on June 26.
Cross-sector risk transfer regulations should be reviewed, say FSA respondents...
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,...
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Using market and credit risk analytics to strengthen performance
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