Credit risk
There's more than one way to skin a cat
The ability to invest long and short is central to efficient risk mitigation in today's capital markets, so the theory goes, but your IT systems need to be able to keep up
This lunch packs an educational punch!
One lunch, four managers, many products. Solomon Teague observes the very different market predictions of a convertible bond researcher, property fund developer, an asset manager and investment committee chairman.
Model mismatch
While mark-to-market may be the prefered route to pricing, sometimes it just isn't possible. The Bank of New York's Tim Murphy and Markit's Richard Earl look long and hard at models as they apply to the pricing for OTC instruments
Beyond stock loan and margining
Merrill Lynch's Jeff Penney explains why the leading prime brokers have gone beyond talking about margin and lending, and why those such as Merrill Lynch have moved into the more elegant sphere of financial engineering for their hedge fund clients
Bringing down the house
There is evidence to support the claim that the subprime mortgage crisis in the US may have had its roots in operational risk problems. But just what caused the crisis, and could it have been averted if the firms involved had robust op risk frameworks in…
The hard sell
Covenant-lites
The new breed
Credit hybrids
Regulatory rethink
India Risk - Credit derivatives
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
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…
The hard sell
Covenant-Lites
In the shadows
Booming over-the-counter derivatives markets may be generating huge revenues for dealers, but they are also casting a worrying shadow over trading book profits in the form of counterparty credit risk. Are contingent credit default swaps the answer?
BarCap and Deutsche launch bespoke CPDO
Barclays Capital and Deutsche Asset Management have come to market with the first fully managed bespoke constant proportion debt obligation (CPDO).
Defining the boundaries
Him Chuan Lim, Basel II programme director at DBS Bank in Singapore, talks to Ellen Davis about operational risk's complex relationship with both credit risk and market risk
Citi and CIMB debut Malaysian CDS
Citi and Malaysia’s CIMB have conducted the first interbank credit default swap (CDS) denominated in Malaysian ringgit.