Credit risk
Variance-covariance-based risk allocation in credit portfolios
Mikhail Voropaev proposes high-precision analytical approximation for variance-covariance-based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
Jockeying for position
A slew of market participants are hoping regulatory scrutiny of the derivatives industry will enable them to gain new footholds in the derivatives clearing and settlement value chain. Georgina Lee reports
Conflict in China
Editor's letter
Chinese banks demand parent guarantees from western derivatives counterparts
Onshore swaps and forex derivatives markets grind to a standstill as foreign banks refuse to sign Nafmii agreement
Recruitment rising, says Risk.net survey
Financial services firms are selectively recruiting new talent, according to a new Risk.net website poll. Risk talent is at the top of the shopping list.
StanChart signs $500m risk-sharing deal with Ofid
A $500 million trade-finance agreement has been signed between global bank Standard Chartered and the Organisation of Petroleum Exporting Countries Fund for International Development (Ofid), which aims to boost world trade flows for emerging market banks.
The road to a quality Street
The Lehman Brothers bankruptcy was unprecedented in US structured products history and brought the burgeoning market to its knees. After capitalising on certificates of deposit, there are indications that investors may be recovering their poise. Richard…