Credit risk
Prime suspect
Knowing the exact quality of the loans in a securitisation pool is key if investor appetite for mortgage securities is to return. Chris Ames, an asset-backed portfolio manager at Schroders, discusses what's prime, what's not, and what has to happen for…
Through the looking glass
ABS Valuations
Vicious circles
Risk Management
Q&A: Laurent Paulhac & Robin Ross
After the Chicago Mercatile Exchange's recent acquisition of market data provider CMA, Laurent Paulhac of CMA and Robin Ross of CME Group talk about how the CDS market may change in the aftermath of the credit crisis
Lawsuits leave monolines' future in the balance
Two high-profile court cases involving FGIC and XL Capital Assurance could determine the fate of the troubled monoline insurance industry. If the verdicts go against the insurers, the damage would not just be to their reputation, but it would call into…
Market Graphic: Speculative-grade default rates
Although European default rates are still relatively low, Moody's has pushed back, and up, its default rate forecast, says Deutsche Bank Securitization Research
The risk reducers
Profile
The risk reducers
Profile
On thin ice
Counterparty Risk
Das Kontrahentenrisiko und CCDSs unter Korrelation
Der Neueste Stand - Hybrid-Risiko
Catching a cold
Liquidity Risk
A matter of trust
CDO Ratings
On thin ice
Counterparty risk
Rating revised
Credit ratings
Regulatory reprieve
Special Report: Synthetic credit
A creditable target?
Operations
A long road ahead
Basel II
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…
Clearing the way ahead
The major credit derivatives dealers, along with the Clearing Corporation, are working to develop a central clearing house for over-the-counter credit derivatives trades. How will this initiative work, and are there are any rival schemes in the pipeline?…