Credit risk
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…
Meeting the challenge of Basel II head on
Banking sector
A popular punt
Oil
Clear intentions
Oil
Do hedge funds want restructurings to fail?
corporate restructuring
The spread of iTraxx
index trading
In The City
opinion
An emerging force in CDS
emerging markets
Tamesis launches tool
credit tech
A French e-revolution
Technology
CDS spreads hit lows
news
Derivatives change the high-yield fabric
Cover Story
The credit derivatives hook
Hedge funds
American regulators release proposed guidance for IRB systems for retail credit exposures
The Federal Reserve System, the Federal Deposit Insurance Corporation, the Office of the Comptroller of the Currency and the Office of Thrift Supervision (The Agencies) have proposed guidelines for Internal Ratings-Based Systems for Retail Credit Risk…
S&P warns banks against reducing capital too soon in anticipation of Basel II
Standard and Poor's will review, and possibly downgrade, issuers that will be found to have reduced their capital levels in anticipation of the effect of the new Basel Accord, also known as Basel II, according to Paris-based Scott Bugie, the rating firm…
Basel II revised default correlation values reflect industry experience, says Fitch
Basel II revised credit card default correlation values will be crucial guidelines to credit portfolio analysis under the IRB approach, says Fitch Ratings, a rating agency based in New York.
Restructuring partner hits out at distressed debt funds
distressed debt
Seduced by CDOs
The insurance arm of the Italian Post Office has been the country’s leading issuer of capital-guaranteed equity investments based on CDOs – portfolios of securitised debt. But when the underlying CDOs were downgraded, the retail products suffered too
Duke Street: a CDO success story
Profile
Derivatives Sizing up the market
credit derivatives
Basel II: capital concerns
Basel II