This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
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 looking more closely at what a systematic risk factor actually…
Single bank default could affect multiple CCPs, leading to crippling default contribution for existing members and a chain of bank failures
The impossibility of DVA replication
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 bring cash clearing more in line with existing…
Defaults by stealth are rare
Market analysis: Correlation and default
'An explosion of sovereign debt'
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.
Clouds are gathering over the Iberian peninsula. Attention is shifting from Greece, given temporary respite by the EU-IMF bailout, to Spain and Portugal as fears mount over their fiscal deficits and spiralling unemployment figures.
Market participants are conducting credit risk analysis on a growing number of counterparties, many of which are smaller, non-public and unrated firms, says S&P.