Credit risk
DTCC acquisition of Avox to result in ‘wider range of ref data’
DTCC has acquired Avox in a move set to result in a broad reference data platform
Data not judgement required for Nordic banks' Basel approach
Nordic banks want to use the Basel framework’s advanced approach to credit risk capital, but local regulators are insistent that data – rather than judgement – has to be the basis for the calculations. Banks don’t have enough instances of default in…
Questioning collateral
European financial markets have been turned upside down by the sovereign debt crisis, with eurozone government bonds no longer regarded as completely risk-free. As a result, dealers are more wary of the correlation inherent in collateral denominated in…
Moodys: Japan SME CDO ratings to show stable to positive trends
Moody's report says large increase in Japan SME defaults unlikely as economy recovers
IASB positive about progress on new loan loss standard as consultation ends
The findings of a group of credit risk experts should help IASB staff find a way to make its proposals operational, board member John Smith tells Risk
Chinese banks pass extreme loan default stress test
Asian banks generally are well capitalised and look set to ride through the eurozone debt crisis with few problems, says Moody's
Concerns grow on correlation of derivatives collateral
Sovereign debt crisis raises fears about correlation of derivative collateral denominated in domestic currencies
Sovereign debt and CDSs: a collection of articles from Risk.net
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
BP oil spill “frightening reminder” of tail risk, say analysts
As oil continues to spill into the Gulf of Mexico, analysts have warned there is little investors can do to hedge against the risk of disasters on the scale of the Deepwater Horizon incident.
Eurozone has two years to agree fiscal union, says DB Advisors
The viability of the Eurozone project continues to weigh on fixed income market, says chief investment officer of DB Advisors.
The risks of tailoring credit default swaps
Credit portfolio managers could tailor credit default swap hedges as financial guarantees to avoid accounting mismatches on their balance sheet. However, the technique exposes credit hedgers to increased costs and basis risk, argues Dirk Schubert
Investors concerned over German banks' exposure to southern Europe
Investors and economists have identified German banks’ exposure to Europe’s indebted peripheral sovereigns as a potential risk to state finances.
Contagion fears drive volatility
The takeover of a Spanish savings bank last month and rumours of funding difficulties at the country's financial institutions spook investors
Brussels calls for European ratings supervisor
European Commission proposes new body to oversee all credit ratings agencies operating in the European Union; security issuers must provide information to all agencies to boost competition
Credit ratings are a necessary evil: Gary Jenkins column
Credit rating agencies have been an easy target for investors’ ire – and in many cases the condemnation has been justified. But ratings perform an important function in the markets.
Market Analysis: Effective credit risk analysis
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.
Valukas' findings challenged by Lehman lawsuit against JP Morgan
Intra-day credit debate re-surfaces as Lehman Brothers Holdings (Inc) (LBHI) accuses JP Morgan of coercing it into agreements that allowed JP Morgan to get hands on collateral
Deutsche Bank halted sovereign CDS trading after Bafin ban
The German bank was not the only dealer to have temporarily put a stop to eurozone sovereign credit default swap trading
Industry disappointed by lack of clout in CCP standards
Dealers complain a long-awaited draft of standards for derivatives clearing platforms fails to address key issues.
Sovereign ratings on UK, US, Japan under fire from credit investors
After Greece, Portugal and Spain suffered rating downgrades in April due to escalating fiscal problems, investors ask if the same standards are being applied to advanced economies.