Credit risk
LCH Clearnet launches OTC clearing for UK gas and power
London-based clearing house LCH Clearnet today launched its new clearing service for over-the-counter (OTC) contracts for UK national balancing point natural gas and UK peak and baseload power contracts.
Electronic CDS trading to remain insignificant until 2006, says Celent
Credit default swaps (CDSs) will not be traded electronically to a significant degree until at least early 2006, according to a report.
Basel harmony still a long way off, notes IIF
“No-one really appreciated the complexity of the whole [Basel Accord] process,” says Charles Dallara, managing director at the Institute of International Finance (IIF). “It is only in the last nine months that regulators and bankers have woken up to the…
A credit loss control variable
Viktor Tchistiakov, Jeroen de Smet and Peter-Paul Hoogbruin explain and demonstrate how the efficiency of Monte Carlo simulation in valuing a portfolio of credit risky exposures is improved by the use of the Vasicek distribution as a control variable. An…
The building blocks of credit derivatives
Credit guide: building blocks
The price of default correlation
Credit guide: pricing
Exploring correlation risk
Credit guide: basket default swaps
Absorbing credit risk
Credit guide: conclusion
A transparent market
Credit guide: transparency
The emergence of credit derivatives
Credit guide: introduction
Re-securitising CDOs
Credit guide: CDOs of ABS
Creating CDO tranches
Credit guide: risk allocation
The next generation
Credit guide: future of CDOs
Banks look to boost first-to-default baskets
New Angles
What credit needs
Comment
New products, new buyers
Equity derivatives
Cracking the correlation conundrum
Cover Story
Basel II: the market reacts
Regulation
The top stories from RiskNews
RiskNews
Recovery swaps hit Europe
New Angles
Quantifying operational risk
This is the fifth of Charles Smithson's latest series of Class Notes, which will run in alternate issues of Risk through to the end of 2004. Class Notes is an educational series, designed to pull together the threads of recent developments and thinking…