Credit risk
High-yield CDS Building liquidity
credit default swaps
2004 A look back
year review
The top stories from RiskNews
Feature
Sourcing the single-system solution
As head of the Basel project office at Bank of New York, Nicholas Silitch faces the toughest challenge of his 20-year career at the bank.
We need a common definition of ‘validation of internal models’ across countries, says OCC
The lack of a common definition of the ‘validation process’ of the internal credit risk measurement models across countries could cause problems in the cross-border risk management under the new Basel Accord, Basel II, according to New York-based Mark…
Funds driven to derivatives
derivatives
Retail on the rise down under
Credit products
An emerging force in CDS
emerging markets
Insurance in the dock
spitzer probe
Freight market hits credit rocks
New Angles
Putnam Investments
profile
The market leaders in Italian derivatives
Italian derivatives dealer rankings
E-Capital launches ethical CDS index
E-Capital Partners, the Milan-based financial advisory company that specialises in socially responsible investment (SRI), has launched an index for ethical credit default swaps (CDS).
A solution to counterparty credit risk?
The race is on to find a solution to outstanding issues such as counterparty risk, double default and the treatment of illiquid assets on trading books before Basel II is enshrined in regulation.
Basel II: capital concerns
Basel II has forced banks, long the mainstay of lending to European corporates, to re-evaluate the amount of money they lend. However Alan McNee reports that far from leading to a huge drop in bank lending, Basel II may actually have the opposite effect.
Maximum likelihood estimate of default correlations
Estimating asset correlations is difficult in practice since there is little available data andmany parameters have to be found. Paul Demey, Jean-Frédéric Jouanin, Céline Roget andThierry Roncalli present a tractable version of the multi-factor Merton…
Mixed default modelling
Structural and reduced-form models are two well-established approaches to modelling afirm’s default risk. Here, Li Chen, Damir Filipovic/ and Vincent Poor develop a new default riskmodelling strategy based on combining these two frameworks in order to…
