Risk magazine
Betting on recovery
In March 2002, on a voyeuristic impulse, I went to Enron’s bankruptcy auction at the firm’s offices in London’s smart SW1 district. From the top floor there was a view of the private royal gardens of Buckingham Palace; and from there, Enron’s executives…
Ultimate recoveries
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult. Craig Friedman and Sven Sandow tackle the problem by maximising the creditor’s utility function, constructed…
Probing granularity
Basel II
A false sense of security
Credit portfolio models often assume that recovery rates are independent of defaultprobabilities. Here, Jon Frye presents empirical evidence showing that such assumptions arewrong. Using US historical default data, he shows that not only are recovery…
Unexpected recovery risk
For credit portfolio managers, the priority is to properly incorporate recovery rates into existing models. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates to depend on the idiosyncratic part of a borrower’s asset return,…
Missing the train
Listed swap products
Questioning convergence
Securitisation
Enter Big Brother’s bigger brother
Data monitoring
The demands of innovation
Credit data
The objective strategy
Merger arb
The strong dollar challenge
Corporate hedging
CBOE prepares for battle
Equity options
Retail credit innovations
Credit derivatives
Ready and waiting
Basel Accord
Getting ready for IAS
Accounting
Vibrant volumes
Exchanges
CSFB at the edge
Profile
Deutsche loses top forex quants
Deutsche Bank, which claims in promotional material to possess a foreign exchange options business that is “unsurpassed” by its competitors, has lost its head of foreign exchange products development William McGhee, and his deputy Andrew Jacobs. The pair…
The billion-dollar man
Profile
The cutting hedge
Loan hedging
Does CP3 get it right?
Basel II
Resecuritisation set for rapid growth in Japan, says Moody's
Resecuritisation deals - collateralised loan obligations (CLOs) backed by structured finance securities - are likely to grow in Japan, according to a report issued this week by Moody’s Investors Service.