Credit risk
Quant Congress Europe: Credit models linked to 'vicious circles'
Model risk comes from overuse of credit measures, as well as poorly constructed models, conference hears
Concern over scarcity of high-quality assets forces CCPs to broaden eligible collateral
Ice Clear Europe accepts gold for margin, while LCH.Clearnet is also working on extending eligible collateral
Insurers, not banks, driving liquidity trade
Insurance sector's hunger for high yields, rather than banks' thirst for short-term funding, driving liquidity trade
Dealer concern over proposed change to client margin segregation
Ice Trust estimates it might have to increase initial margin by 63% to cover risk.
Counterparty risk concerns drive Enel to bond market
Profile: Alessandro Canta
More discord over Basel III countercyclical buffers
Basel Committee’s Peter Praet acknowledges disagreement; Charles Goodhart warns lack of consensus will stop central banks acting to stem financial imbalances
Sponsored educational feature: Counterparty credit risk in portfolio risk management
Counterparty credit risk in portfolio risk management
CPM desks split on whether to reap windfall on hedges
The value of hedge books was hugely volatile during the crisis, forcing loan portfolio managers to think carefully about whether to monetise their gains. Those who chose not to saw windfall profits wiped out in a matter of weeks – but there’s still…
Ban on rehypothecation could increase derivatives costs
A number of hedge funds are now insisting margin posted on derivatives trades is not rehypothecated – a trend that could drive up costs
Corporates to drive EM growth but watch financial market development, say Credit Institute panellists
Panellists in the Credit Institute forum on ‘Sovereign or Corporate, Global or Local’ said that corporates will drive credit growth in emerging markets, but investors cannot afford to ignore financial market development or to forgo due diligence.
2010 Asia Pacific CVA Forum: Singapore going live with CVA, Korea next?
Domestic banks in Singapore are starting to set up CVA desks at the behest of their regulator, but elsewhere in Asia there are significant obstacles to CVA
Expect double-dip, not inflation, says CreditSights' Purtle
Chief strategist at CreditSights Louise Purtle warns that global deleveraging makes double-dip recession more likely than inflation.
EU bailout vehicle nets top credit rating
European Financial Stability Facility secures triple A rating
US financials a better bet than corporates, say investors
US corporate restructuring and balance sheet improvements have drawn investor focus to corporate credit. But technical factors make financials look attractive.
Coping with the new CVA challenges
Countering the credit challenge
Costs could deter hedge funds from learning Lehman lessons
Cutting counterparty risk has a price tag that might prevent smaller funds from changing their ways, experts fear
ECB’s González-Páramo highlights flaws in collateral framework
European Central Bank executive board member José Manuel González-Páramo acknowledges risks in central bank’s willingness to accept broad range of collateral
NAIC opts for macroeconomic based approach for CMBS
US insurance regulators turn their focus to CMBS
'An explosion of sovereign debt'
'An explosion of sovereign debt'
US municipalities wary of two-way CSAa
Cornered on collateral
Spanish debt office in negotiations on credit support annex thresholds
Government agency looks to alleviate funding costs for bank counterparties in swaps transactions.
Low liquidity is the new norm for portfolio managers: Caveat Emptor column
Portfolio managers accustomed to building books in neat blocks of $50 million may struggle to unwind such positions in the new liquidity-starved secondary markets.
LBO companies face debt restructuring risk – Pimco's Jessop
The executive vice-president and portfolio manager at Pimco talks about the asset manager’s plan to broaden its high yield offering, and where he sees the current risks and opportunities in that market.
CVA and the equivalent bond
CVA and the equivalent bond