Credit risk
The T. ROWE method
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Crisis of correlation
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RiskNews
At long last...
Risk Analysis
Coping with copulas
Book review
Financial alchemy
Relative value
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Plugging the gaps
Italian banks have overhauled the risk management of their loan portfolios. But weaknesses still remain, particularly in the area of risk-adjusted pricing and credit risk transfer. Rachel Wolcott looks at what steps Italy’s banks are taking to fill the…
Taking the option of profit by default
derivatives
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Optional extras
credit options
How shock-proof is the market?
event risk
Spitzer probe threatens MBIA bond guarantees
insurance sector
Benefiting from credit
Credit
Is the market equipped for the next LTCM?
trends in credit
New demand stokes red-hot loan market
loan market
The all-Asian CDO
Asian credits
Tailor-made CDOs for all
Commoditising CDOs
Domestic bliss...at a price
Home currency CDOs
A new hemisphere
Profile
Plugging the gaps
Portfolio management