Collateral
The listing option
Following the banking crisis, the burden of counterparty risk has increased the need for transparency and liquidity in the structured products market. While a move to listing products and exchange-trading helps offer this, how does it affect counterparty…
Collateral management
Sponsored Statement
Dangers of disintermediation
Editor's letter
The domino effect
Corporates
Death by association
CFXOS
Margin of error
Prime Brokers
Power to the people
ABCP Conduits
Non-recourse redoubt
Non-recourse financing
FSA starts monitoring banks’ management of collateral
The Financial Services Authority (FSA) has started investigating how large investment banks manage their collateral, fearing they may not be ready for a sudden market downturn.
JP Morgan offers clients collateral service
JP Morgan Chase has developed a collateral management service called JP Morgan CommanD.
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Seduced by CDOs
The insurance arm of the Italian Post Office has been the country’s leading issuer of capital-guaranteed equity investments based on CDOs – portfolios of securitised debt. But when the underlying CDOs were downgraded, the retail products suffered too
Collateralization: A safety net for investors?
The proliferation of credit derivatives has given rise to the widespread use of collateralization—posting collateral against the risk of default. But as Saskia Scholtes reports, this practice may be creating its own risks.
Collateralization: A safety net for investors?
The proliferation of credit derivatives has given rise to the widespread use of collateralization—posting collateral against the risk of default. But as Saskia Scholtes reports, this practice may be creating its own risks.
Collateral damage
Credit risk
Ultimate recoveries
Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult.
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…
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,…
Ultimate recoveries
Recovery rates - Cutting edge
Basel trouble brewing in Europe's accession countries
Domestic banks and corporate banking customers in central and eastern Europe could have trouble adapting to the changes the revised Basel Accord would have on their economies.
Deutsche Bank credit team gets a Spanish lesson
Use of credit derivatives in structured products under scrutiny after BZ Gestion fund suffers losses
Double-counting fears ease as w -factor is removed from Basel II capital charge
BASEL - The so-called w -factor that bankers feared could result in double-counting of op risk under the Basel II bank capital accord will be removed from the capital charge provisions of the accord, global banking regulators said in September.