Lehman Brothers

No guarantee from Lehman?

Lehman Brothers Holdings Inc is expected to challenge an apparent pledge to its subsidiaries to guarantee their liabilities and obligations. If successful, the bankrupt estate could render hundreds of billions of dollars worth of claims invalid, and even…

A sting in the tail

After recent financial turmoil, market participants are thinking much more rigorously about ways to protect themselves against the possibility of rare but extreme events. However, effectively hedging tail risk is not straightforward. By Mark Pengelly

The problem is severity

Financial reformers talk endlessly about the too-big-to-fail problem, but they often fail to address the heart of the issue, argues David Rowe

The Lehman flip clause flap

The decision of a US bankruptcy court to void contractual provisions that shield investors from the credit risk of swap counterparties in structured finance deals has put the legal systems of England and the US on a collision course. It also has…

Bilateral counterparty risk with application to CDSs

Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the crisis prompted counterparties to ask institutions to…

Where there’s a will…

Living wills have quickly emerged as a new measure to ensure banks are better prepared for the next crisis. But clear definitions of exactly what information they should contain and how they should be drawn up do not exist. Joel Clark reports

Keeping the lights on at Lehman

The administrators of Lehman Brothers International (Europe) discuss their role in handling the largest bankruptcy in corporate history, revealing how the process has raised questions about prime brokerage agreements, stock lending practices and the way…

Exceptions to the rule

Regulators have traditionally seen value-at-risk exceptions as an early warning of weaknesses in bank risk models. However, the financial crisis has shown VAR exceptions cannot be used to predict bank failures or distress.

Unbroken China

The global financial crisis had an indirect but significant impact on Chinese banks, which have had to manage the risks linked to the country’s large credit expansion in 2009. Financial institutions have also learnt useful lessons from the collapse of…

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