Credit risk
Catch 22 for corporate liquidity
Companies facing relatively minor business difficulties are being shut out of the commercial paper market, forcing their treasurers to scramble for alternative financing to avoid insolvency. Is there any way to manage this liquidity risk?
Fannie and Freddie – a look under the lid
Fannie Mae and Freddie Mac are two of the largest and most sophisticated participants in the US interest rate derivatives market. But criticism of their risk management has been growing. Is the market safe?
Robeco’s synthetic age
Case study
Credit derivatives platforms turn to structured products
Electronic trading
Under fire
Credit derivatives
Moody's unveils default loss model
Credit tech
Predictive Merton
Technical
The risk breaker
To claw its way back from its problem-loan nadir in the late 1990s, Bank of America embraced risk-adjusted return metrics and credit risk distribution techniques. Amy Brinkley is overseeing its turnaround.
Moody's launches LossCalc
Moody’s Risk Management Services (MRMS) claims that its latest product, LossCalc, is the first risk management tool to predict loss-given default (LGD) for investors in the event of a company’s bankruptcy.
A new twist to ABS
Synthetic securitisation
Review of the year
A look back at the significant risk events of 2001.
Enron collapse a test, not threat, to credit market
Enron’s bankruptcy may be the biggest test of the credit derivatives market to date. But when the dust settles, its most profound effect may be on credit investors’ preference for managed portfolio transactions. Rob Dwyer reports
Building for Basel
The 2005 implementation date for the new Basel II Accord – already postponed by a year – is looming large. Whilst the banking sector is steadily gearing up for the proposed changes, there are fears that some institutions may be left behind.
Building for Basel
The 2005 implementation date for the new Basel II Accord – already postponed by a year – is looming large. Whilst the banking sector is steadily gearing up for the proposed changes, there are fears that some institutions may be left behind.
A spanner in the works
The US and Germany are in a standoff over Basel II’s capital charge calculation for SME lending. Without a compromise this month, the issue threatens to derail implementation of the Accord and the European Directive.
Building for Basel
Basel implementation
ING Barings debuts with synthetic CDO in Asia
ING Barings, the investment banking arm of Dutch bancassurer ING, has arranged what it claims to be the first arbitrage synthetic collateralised debt obligation (CDO) transaction managed by a portfolio manager in Asia, in an attempt to cater to the…
S&P offers CDO manager ratings on the Web
International debt rating agency Standard & Poor’s (S&P) has begun offering evaluations of collateralised debt obligations(CDOs) managers for free on its website. While the move appears timely given the current turbulent environment for non-investment…