Credit markets
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
What has op risk to do with ‘credit’ ratings?
How should credit rating agencies include op risk in their assessment of firms’ creditworthiness? By Choongo Moonga
CDOs unlikely to be affected by GM and Ford, says Fitch
Synthetic collateralised debt obligations (CDO) are unlikely to experience downgrades on the back of weakening credit ratings in the US automotive sector, says Fitch Ratings
Plugging the gaps
Italian banks have overhauled the risk management of their loan portfolios. But weaknesses still remain, particularly in the area of risk-adjusted pricing and credit risk transfer. Rachel Wolcott looks at what steps Italy’s banks are taking to fill the…
Basel IIBetter for everyone?
On June 26, 2004, international banking supervisors agreed in Basel, Switzerland to a new framework that will alter the way many banks calculate their capital requirements. The new Basel Capital Accord is to be phased in during 2007 and is scheduled for…
Impetus from overseas
Japan
End of a drought?
Corporate issuers
Optional extras
credit options
How shock-proof is the market?
event risk
Spitzer probe threatens MBIA bond guarantees
insurance sector
Spreads explained
chart of the month
Russia out in the cold
Russia
Briefs
REGULATORY UPDATE
Benefiting from credit
Credit
Under the microscope
Regulation
Emerging from the shadows
Country profile: Switzerland
Is the market equipped for the next LTCM?
trends in credit
Ethical bonds take wing
ethical investing
Basel IIBetter for everyone?
market forum
New demand stokes red-hot loan market
loan market
The all-Asian CDO
Asian credits
Tailor-made CDOs for all
Commoditising CDOs