Credit risk
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Banks attack proposed risk weights for specialised loans
EU lenders say both EBA proposals would distort capital requirements
Shadow banks eye accounts receivable as lenders retreat
Hedge funds target 10–12% returns on credit risk from unpaid invoices
Malaysia central bank: credit reporting could unite Asean markets
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
BIS research posits test for unsustainable credit growth
Method could provide early-warning system
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
IMF report calls for reform of securitisation markets
Fund says securitisation practices should be tightened while spurring demand
CCPs confront the difficult maths of default management
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
Credit portfolio manager of the year: Crédit Agricole
Risk Awards 2015: French bank shared trade finance exposure with World Bank
Path-consistent wrong-way risk
A copula-based model for wrong way risk
How to hedge CVA without being hurt
A new product could smoothe the gap between capital and accounting rules
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi…
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Basel exposure limits raise questions for client clearing
CCP exposures not in scope of new regime, but clearing members are
Stress tests prompt NPL rethink
Banks expected to sell NPLs to improve stress-test resilience
Growing P2P lenders confront "profound" risks
UK platforms worry about rogue rival services with weak credit controls
Options for collateral options
When collateral can be posted in multiple currencies, pricing even the simplest derivatives involves optionality, which is often tackled numerically. But by conditioning on a risk factor to make variables independent, this can be simplified. Alexandre…
The simple link from default to LGD
A new approach to incorporating loss given default into models