Credit risk

G30 - Moving in the right direction

The latest G30 report on global clearing and settlement offers more than a few worthwhile suggestions. But Kristina West says there is still much to be done before the industry will wholly embrace the recommendations.

Sponsor's article > No cure through the cycle

Some have argued that the antidote for pro-cyclicality in the Basel II capital requirements is the use of 'through-the-cycle' estimates of default and recovery rates. David Rowe argues that, whilethis might mitigate the pro-cyclical impact of the Accord,…

HVB closes $1 billion CDO

Germany’s Bayerische Hypo- und Vereinsbank (HVB) has closed a $1 billion hybrid collateralised debt obligation, according to an official at the German banking group. The transaction was structured by HVB in Singapore, and HVB Asset Management Asia is the…

Isda muddies debt waters

The International Swaps and Derivatives Association (Isda) has finally released its 2003 credit derivatives definitions, which take effect on March 17.

Contributions to credit risk

Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…

Random tranches

How should economic or regulatory capital be allocated to tranches of securitisations? The standard Basel conditional dependence calculations are complicated in this case by non-linearity effects and complex deal dependence. Here, Michael Gordy and David…

Margin notes

Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here