Credit risk
Market-implied ratings
There has been much debate over the respective merits of credit ratings and market-based indicators. Ludovic Breger, Lisa Goldberg and Oren Cheyette present a new approach that tries to incorporate the benefits of both approaches. Starting with agency…
Correlation evidence
Like ratings, default correlation is an area of fierce industry debate. But any fundamental, long-term investor searching for fair value in credit correlation will want to understand what the historical data actually says. Here, Arnaud de Servigny and…
Cracking correlation
Credit default swaps
The right tools
Portfolio selection
Banks exploit debt and equity tie-ups
Credit tech
Class warfare
Welcome Break
A market redeemed
CDOs
Banks struggle with conduits
FIN 46
Basel II – it’s not all devil in the detail
New angles
Basel II: Time to prepare
Following the publication of the third and final consultation paper, Japan's banks are focusing more seriously on Basel II. With the new requirements set to take effect from 2006, most banks face a critical year ahead.
Bank of England research backs Merton model
Analysts in the Bank of England's domestic finance division believe a Merton model for modelling credit risk is "a useful tool for assessing the riskiness of individual companies".
Lehman and Agricultural Bank of China close synthetic CDO
Lehman Brothers International Europe, the European arm of US investment bank Lehman Brothers, has launched an arbitrage synthetic collateralised debt obligation (CDO) referenced to a $1 billion portfolio of 120 entities that will be managed by the…
Risk USA 2003: Loan managers increasingly rely on credit derivatives, says CIBC's Bennett
Stephen Bennett, global head of portfolio management at Canadian Imperial Bank of Commerce (CIBC), believes credit derivatives are playing an increasingly important role in the loan market, both as hedging instruments and by helping facilitate mark-to…
Risk USA 2003: Loan managers increasingly rely on credit derivatives, says CIBC's Bennett
Stephen Bennett, global head of portfolio management at Canadian Imperial Bank of Commerce (CIBC), believes credit derivatives are playing an increasingly important role in the loan market, both as hedging instruments and by helping facilitate mark-to…
Lehman to launch credit default swap indexes
Lehman Brothers plans to launch a number of credit default swap indexes covering the US, Europe and Japanese credit default swaps (CDS) market by July.
Sweeping it under the carpet
German securitisation
Trying to model reality
Credit Risk
Standing out from the crowd
Credit Risk
Sector roundup
Sectors
A cautious embrace
Credit indexes
DBS launches synthetic CDO
New angles
A blend of assets
Credit/equity hybrids