Collateral
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.
Capital concerns
Basel’s proposals for banks involved in the repo markets have caused widespread dismay. As a result, trade organisations around the world are petitioning the committee for a wholesale rethink.
Credit, collateral, capital
Christine Stanschus and Michael Clarke examine the potential impact on collateralisation of the proposed new Basel Capital Accord, and outline the top five things that collateral managers should do to gain maximum regulatory capital benefits.
Weighting for risk
Basel II
Modelling default correlation
Credit risk
Do we need a broader definition of op risk?
A definition of op risk should embrace the linkages with market and credit risk, argues Ken Swenson.
Calculating with counterparties
Masterclass – with JP Morgan
Haircuts for hedge funds
Collateral
CBOT Ramps Up Its Hits Swaps Processing Service
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