Credit risk
The road to partition
Applying the ensemble approach developed in these pages last month, Kevin Thompson and Roland Ordovas calculate risk contributions and show how to measure higher-order default dependence using the method of partitions. The results provide tools allowing…
Bespoke panacea?
Substitution rights
Insurance companies’ slow embrace
Credit derivatives
Solutions or smokescreens?
Structural enhancements
Branching out
Basket-linked notes
Swap enthusiast
Profile
Leading dealers sign up to new CDS matching service
JP Morgan Chase, Deutsche Bank and Morgan Stanley have signed up for a new global credit default swap (CDS) matching service that the Depository Trust & Clearing Corporation (DTCC) plans to launch in June.
Operational risk quantification: a discipline at a crossroads
OP RISK EUROPEAN PRACTITIONER ROUNDTABLE
Controversial changes to Pillar I
COVER STORY
Client control
Comment
Default swaptions: the next frontier
Cover story
The leading stories from RiskNews
RiskNews
Taking it slow
Hong Kong's banks are, for the most part, targeting the standardised approach outlined in the new Basel capital Accord, but it is hoped that this will act as a catalyst for the further improvements in risk management.
Japanese banks: Turning up the heat
Japan's banks have faced a gruelling few months in the run-up to the fiscal year-end, with a plunge in equity prices putting severe pressure on capital ratios. But a further crisis may be just around the corner, writes Nick Sawyer.
Band of brothers
Some companies are assessing the need to share pooled information to manage clients more effectively, but the idea is unlikely to be welcomed by hedge funds
Soros to implement collateral management trade solutions
Algo Collateral system to provide derivative margining
Weighing up the credit risks
As the interest in credit derivatives grows, we unravel some of the technical applications of such products
Derivatives disclosure calls mount
Warren Buffett's stinging critique of the derivatives business in March represents the latest call for more derivatives disclosure. But despite some notable moves in this direction, most financial institutions remain stubbornly opaque.
Landesbanken to offer credit loss database to third parties
Three of Germany's largest Landesbanken and the consultancy BearingPoint are planning to bring a credit loss database (CLD) that they are developing jointly to the market in the second half of this year. The tool is being designed to comply with the new…
Book extract > Regulatory Use of Credit Ratings: Implications for Banks, Supervisors and Markets
Barbara C. Matthews is Banking Advisor and Regulatory Counsel to the Institute of International Finance, Inc. (IIF). The views presented in this chapter, however, are her personal views and do not necessarily represent the views of the IIF or its members…
Enhancing CreditRisk+
Of the various analytical approaches to credit portfolio modelling, CreditRisk+ has become the most popular due to its tractability. However, the model suffers from the restrictive assumption of sector independence. Moreover, the recursion relation for…
Credit ensembles
Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…
What everybody ought to know about this credit business
CDS guide: introduction
The ability to ‘trade rumours’
CDS guide: market indicators