Credit tails
Model Risk
When times are good, investors take on more risk. When the cycle turns, they offload this risk. The ensuing flight to quality may cause a gradual market downturn or, more likely, lead to a collapse. This description could be applied in general to a financial crisis, but could also be used to describe the recent meltdown in the US subprime mortgage market.
The surge in US subprime delinquencies redefined the market perception of mortgage risk, and this quickly spread to other sectors of the
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Credit risk
Regulation
FCA proposes using CME’s term SOFR for synthetic US Libor
IBA agrees to use rival’s ARRC-endorsed benchmark to avoid bifurcating the market
Receive this by email
Most read on Risk.net
- Podcast: Piterbarg and Antonov on alternatives to neural networks
- FCA proposes using CME’s term SOFR for synthetic US Libor
- Climate risk managers debate role of client transition plans
- Equities clearing and CCP resilience: protecting post-trade from geopolitical turmoil
- GFMA mulls FX determinations committee