Credit risk
Basel II and pro-cyclicality
The main argument for making regulatory capital requirements more risk-sensitive is to improve allocational efficiency. But this may lead to intensified business cycles if regulators fail to take measures to prevent such an impact. In this first column…
Super-senior risk buyer’s role seen as vital in managed synthetics
The future growth in managed synthetic collateralised debt obligation (CDO) deal-flow is dependent on the willingness of counterparties to sell super-senior risk protection to CDOs, said Jeff Huffman, a London-based executive director in Goldman Sachs’…
Read the small print
With prime brokers becoming an increasingly powerful force in the market, how closely should hedge fund managers examine the underlying agreements with their chosen provider?
Avoiding pro-cyclicality
David Cosandey and Urs Wolf argue that, for small to medium-sized enterprises, Basel II is pro-cyclical because of a double-counting of the risks. They present two main directions for possible capital rules that would circumvent the pro-cyclicality…
Credit risk systems: Getting the risk right
The requirements of the new Basel Accord are prompting some banks in Asia to begin implementing sophisticated credit systems, but there are still some obstacles to overcome.
Copula vulnerability
Counterparty credit risk
The credit risk time bomb
Insurers
PFE: ahead of its time
Modelling
Reinventing the market
Cashflow CDOs
CDS: the quest for neutral pricing data
Price data services
The credit risk time bomb
Insurers remain very keen to both guarantee and invest in credit derivatives products, but key regulators are about to release reports indicating that risk transfer between the insurance and banking sectors might not be such a good idea.
Credit’s secrets
Hedge funds
S&P launches CDO analytical tool
Credit tech
Watching for pitfalls
Credit derivatives law
House of the year and credit derivatives house of the year
Asia Risk Awards 2002
Risk managers of the year
Asia Risk Awards 2002
SG launches Asian arbitrage CDO
New angles
Mizuho tests Japanese CDO market
New angles
Beyond the dollar
Credit-linked notes
Getting the risk right
Credit risk systems
RiskNews review
September’s leading stories from RiskNews. Breaking news on derivatives and risk management, see RiskNews – www.RiskNews.net
A role reversal
Credit risk
Mizuho to launch ¥1.27 trillion CuBic One synthetic CLO
Mizuho Corporate Bank, a unit of Japan's Mizuho Holdings, is launching a ¥1.27 trillion ($10.4 billion) three-year synthetic balance sheet collateralised loan obligation (CLO), via special purpose vehicle CuBic One Limited. Mizuho International and…