Credit risk
VAR: ready to explode?
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Basel Committee announces additional credit risk working groups
The Basel Committee on Banking Supervision announced today that it is launching three working groups, in partnership with the International Organization of Securities Commissions (Iosco), to explore a number of counterparty credit risk and trading book…
Central banks seek more data on credit derivatives
The Bank for International Settlements (BIS) is going to ask dealers in the credit derivatives market to supply more information about their business, including information on who they are dealing with.
Fitch finds CDS participants should act before times of stress
Credit default swaps (CDS), although an efficient risk management tool, should not be used solely in reaction to times of greatest stress when many corporates are illiquid, said a Fitch Ratings special report, Liquidity in the credit default swap market:…
DTCC expands CDS matching service
The Depository Trust and Clearing Corporation (DTCC) has expanded it credit default swaps matching service to cover Asia-Pacific corporates and sovereigns, as well as a number of credit default swap indexes.
When credit risk rears its ugly head
software
Correlated defaults: let’s go back to the data
Estimates of asset value correlation are a key element of Merton-style credit portfolio models. Many practitioners have access to asset value data for a large universe of listed firms, so estimation is within reach. Alan Pitts describes a statistical…
High-Grade Consumers
Credit Awards 2004
ABS / MBS
Credit Awards 2004
Briefs
Regulatory Update
Trouble in Toytown
toys “r” us
Documenting EDS
Equity default swaps
Squeezing more juice
Multi-sector CDOs
Decoupling default and spread risk
Constant maturity CDS
Avoiding the crush
Synthetic CDOs
Primus to tap equity market
New Angles
The top stories from RiskNews
RiskNews
A merging together
Credit indexes
New players tap Asian credit
New angles
Covenants: crisis of confidence
Financial covenants that rely too heavily on ratios are just not sophisticated enough to predict the likelihood of default, argues Sarah Woo. Loan originators must learn a trick or two from their colleagues in portfolio management and develop…
Covenants: crisis of confidence
Financial covenants that rely too heavily on ratios are just not sophisticated enough to predict the likelihood of default, argues Sarah Woo. Loan originators must learn a trick or two from their colleagues in portfolio management and develop…