Credit risk
The evolving credit function
A new focus for credit
Offshore activities create surge in spreads on iTraxx Australia
Jack of all trades
EBA stress test results shed light on sovereign derivatives exposures
European bank sovereign derivatives exposures revealed
Europe in a ratings wonderland
Europe in wonderland
Perverse capital
Perverse capital
Pension funds urge US Congress to act fast on debt-ceiling deal
Pension funds and investment firms highlight inflation, interest rate and currency risks of US default in open letters to President Obama
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Risk.net poll: Orderly restructuring most likely scenario for Greece
Almost half of poll respondents believe Greece will undergo an orderly restructuring in the short term, perhaps leading to a selective default
Fannie Mae says FHFA's margin rules would drive up hedging costs
US mortgage giant says segregating variation margin will hurt FHFA- and FCA-regulated entities, and create new funding obligations for swap dealers
Structured credit landscape revives the basics
Credit goes back to basics
Credit risk models alone do not capture sovereign risk – Nicholas Spiro profile
The sovereign specialist
Derivatives users face tough choices on CCPs
A clear path?
Client clearing poses acute liquidity risks
Margin jump risk
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
Mission impossible for ratings
Mission impossible for ratings
Industry chiefs call for Asian credit rating agency; 'big three' too ‘US-centric’
Senior industry figures in Asia, including outgoing SFC chief Martin Wheatley, say Asia needs an internationally recognised ratings agency to compete with Fitch, Moody’s and Standard & Poor’s.
Dealers push for further CVA amendments under Basel III
Adjusting the adjustments
Italy is real eurozone endgame, says top credit quant
Eurozone can finance a Spanish bail-out, but an Italian default is the real test of common currency’s survival, says NYU's Edward Altman
Chinese banks stake their future on SME loans
The SME revolution
Industry models not sufficiently developed to calculate CVA charge, says Basel Committee
Basel Committee sticks to its decision not to allow banks to use their own models to calculate the CVA capital charge under Basel III
Market analysts consider impact of resolution regimes on CDS market
Resolution regimes rule, OK?
New regulatory blitz threatens future of credit rating agencies
The SEC and EU have announced tough measures designed to limit the influence of credit ratings on the investment process. Credit magazine talks to the agencies about their efforts to restore their reputations, and asks investors about what role rating…