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Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
US regulators turn their attention to negative equity
Rate cuts have alleviated worries about loan rate resets, only for a new concern to emerge
Bradford & Bingley upbeat but writedowns worry rating agencies
As banks report losses on their asset portfolios, concern from raters continues. Yet despite reports of an increase in mortgage arrears, B&B remains confident, especially in the buy-to-let market
The case for the defence
Although the smallest of the big three agencies, Fitch Ratings is often perceived as the one that reacts fastest to market developments. Sarfraz Thind talked to Glenn Costello, co-head of US RMBS at Fitch in New York
Freddie Mac gives private insurers a helping hand
US mortgage agency relaxes criteria to help private mortgage insurers rebuild capital reserves
Accidental heroes
IPD has grown to become the main index provider for property derivatives. The company's story points to some of the obstacles facing this developing market, writes Rob Mannix
Modelling default rate in a retail portfolio and the estimation of portfolio risk
Considering correlation as the major driving factor for portfolio risk, Farshad Mashayekhi and Joy Wang present a methodology for the estimation of correlation among retail exposures based on historical default rates in pools of retail accounts. The…
Pimco's head of MBS sees upside in illiquid markets
Value to be found in private label mortgage securities where liquidity premiums greatest, says key investor
A clearer picture
Fraud has gone to the top of the postmortem on the US subprime debacle. To detect and prevent it, more information at the loan level is needed, and the standardisation of data would also help investors in mortgage-backed securities make better decisions,…
Northern Rock nationalisation positive for bondholders
Holders of bonds issued by the Granite master trust will benefit from government ownership although questions remain over the vehicle's long-term future
A changing carbon market climate
The EU Emissions Trading Scheme is stepping up a notch with a batch of new measures for its Third Phase. Andrew Holt finds out what carbon market participants think of the new proposals
Peter Terium
Peter Terium, CEO of newly created RWE Supply & Trading, tells Roderick Bruce why he is the right man to lead the integrated business forward.
The prepay delay
Municipal natural gas prepayment deals withered in the second half of 2007 as a result of the credit crisis. While this year has seen a trickle of new deals, greater problems may be lurking. David Watkins reports