Credit risk
Agencies rethink market risk rating methods
The three largest global rating agencies are reconsidering their approach to rating structures exposed to fluctuations in market value, with potentially unpalatable results for holders and arrangers of various structured credit products.
Talking point - 2008 outlook
Talkingpoint
Countrywide Home Loans dominates December US CDS trading
Credit default swaps (CDS) for the banking and financial services sectors dominated the most active trading in the US over December, led by Countrywide Home Loans, Lehman Brothers, CIT Group, Merrill Lynch and SLM Corp, according to interdealer broker…
Cool-headed and anything but distressed
David Walker met Mellon Global Alternative Investments' directors Derek Stewart and Scott MacDonald to find out how they coped last year and their plan for 2008
Storms brewing
Litigation
Protecting commercial real estate portfolios
Commercial property
The blind leading the blind
Editor's Letter
A platform for success
Practitioner profile
Giving credit its due
Investment
Basel II backlash
Credit Risk
Marking to mayhem
Structured Credit
The probability approach to default probabilities
Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, Nicholas Kiefer applies the probability approach to uncertainty and modelling to default…
Uncovering PD/LGD liaisons
Francisco Sanchez, Roland Ordovas, Elena Martinez and Manuel Vega consider the presence of correlation between default and recovery through the familiar variance of loss formula. Business cycle dependence permits a neat decomposition of the variance…
Credit tails
Model Risk
Fannie Mae most active CDS in US for November
The banking and financial services sectors dominated trading volumes of credit default swaps (CDS) in the US over November, according to New York-based interdealer broker GFI.
Ringing in the new year - what will it bring?
fund outlook
A question of funding
Liquidity risk
Winding down
Prepayments