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Credit risk

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

Continuous-linked settlement: Extending to Asia

Continuous-linked settlement – the initiative designed to eliminate forex settlement risk – went live at the end of last year. But with only Australia and Japan represented in the first batch of currencies, what will CLS mean for Asia’s banks?

Waiting for guidance

South Korea's banks have made huge strides in implementing risk management systems over the past few years, but Basel II is not yet a driving force, with banks waiting for the Korean regulator to publish local guidelines.

Luck of the irish

Ireland's Central Bank has authorised the move to make hedge funds available to retail investors, prompting even more interest in the country

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