Credit risk
New dawn for loan portfolio management
The way institutions handle credit is changing. Charles Smithson compares the results of two surveys done in the past two years to discover how portfolio management has evolved.
Software survey 2003
Credit technology hogged the spotlight in 2002, as the spectacular collapse of a host of corporate giants combined with movement on the Basel II Accord focused everyone's attention on this class of exposures.
Niche lenders brace for Basel
Banks with niche lending businesses are scrambling to assemble enough data to allow them to benefit from Basel II's most advantageous capital provisions. Gallagher Polyn reports on one successful initiative.
Clearing will solve energy market woes, says University of Houston
Over-the-counter clearing of energy derivatives contracts could provide the market with the required transparency to help rebuild the energy trading industry, according to research by Global Energy Management Institute (GEMI) at the University of Houston…
Sponsor's article > The role of correlation
David Rowe surveys recent research on the role of correlation between probability of default and recovery rates, as well as among default probabilities.
Westpac launches CDO of CDOs
Australian bank Westpac has closed a $1.25 billion synthetic collateralised debt obligation (CDO) backed by a pool of structured finance transactions. The deal, arranged by JP Morgan Chase, is thought to be the first such structure issued in Asia-Pacific.
Merrill pitches CDS baskets as alternative to risky single names
Instead of confining themselves to riskier individual corporate bonds, investors hunting yield can find relatively more value in basket credit derivatives, according to research by Merrill Lynch.
Canada’s shifting credit scene
Canadian banks
Coarse-grained CDOs
While analytical models of credit portfolio risk using conditional independence have been one of the most promising areas of recent research, they often involve granularity assumptions that are violated in CDO reference portfolios. Here, Michael Pykhtin…
A new look at credit risk capital
In the second of two articles on Standard & Poor’s refinement of analytical methodology, John Kennedy discusses an updated approach to evaluating credit risk capital
Killing two birds with one stone
Counterparty risk
The modelling business
Modelling
Crossovers: mind the gap
Credit of the month
Risk manager of the year – Mark Ritter, UBS Warburg
The Risk Awards 2003
What lies beneath?
Credit derivatives
RiskNews review
The leading stories from RiskNews
Software survey 2003
Survey
The role of correlation
Risk analysis
Enterprise-wide risk management: Knitting together bank risks
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
ST Asset Management mulls CDOs and plans to boost headcount
ST Asset Management (STAM) is planning to increase its staff – which is currently 19-strong – by one third throughout next year, in a push to become a key participant in Asia’s structured finance market, according to Chong Jiun Yeh, a senior vice…
ABN Amro to close A$1.1 billion Gibraltar synthetic CDO today
Dutch banking group ABN Amro expects to close its Gibraltar synthetic collateralised debt obligation (CDO) referenced on a portfolio of global credit default swaps worth a notional amount of A$1.1 billion today, Paul Cordeiro, ABN Amro's Sydney-based…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…