Credit risk
Ein glaubhaftes Ziel
Operations
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…
Points of principle
Liquidity risk
Buoyant bursa
Profile
Routes for restructuring
Synthetic credit
'Toxic' by association
Credit-linked notes
Accumulated junk
Opinion
Topping the agenda
Liquidity risk
Rising above it?
Merrill Lynch's decision to ditch its collateralised debt obligation portfolio in July has been spun as a brave attempt to draw a line under its structured credit losses. But how good is the deal, and does it represent a template for other firms…
Tools of the traders
Technology
The capital ratio conundrum
Regulatory capital
Towards T+0 reconciliation
The Counterparty Risk Management Policy Group's third major policy statement appeared in early August - and it presents surprisingly radical demands, says David Rowe
Valuing hard-to-value assets
In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes…
Risk Australia Rankings 2008: A roller-coaster year
Market participants in Australia have faced a year of ups and downs in all asset classes. But a number of dealers - some facing problems of their own - have stood up to the task, with Deutsche Bank defending its position at the top of the pile
Bank monoline exposures creep up in second quarter
Second-quarter results yielded further markdowns at major dealers due to the increasing counterparty risk posed by monoline insurers.
Crisis of faith
Regulatory News
Points of principle
Liquidity risk
Fed’s OTC processing targets expanded to interest rates and commodities
For the first time, major traders of over-the-counter derivatives have pledged to improve operational efficiency for interest rates and commodity derivatives, as well as further improve processing speeds for credit and equity derivatives.