Collateralised loan obligations (CLOs)

A bottom-up model with top-down dynamics

Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…

Happier times for distressed assets?

The distressed assets sitting on the balance sheets of financial institutions have increased in value in recent months, with a variety of firms reporting paper gains. Has the turning point been reached in distressed structured credit assets? Peter…

Risk reallocation

The originate-and-distribute model offered a means for banks to offload credit risk from their balance sheets and distribute it to investors. But Andrew Haldane and Lewis Webber of the Bank of England argue this risk was often passed on to those least…

Japan's four major banks post losses of $31bn for 2002

Japan's four largest banks have posted a combined ¥3.61 trillion ($30.9 billion) in losses for the 2002 financial year, following larger-than-expected losses in their cross-equity holdings amid slump in the country’s equity markets and their ongoing…

Japanese banks: Turning up the heat

Japan's banks have faced a gruelling few months in the run-up to the fiscal year-end, with a plunge in equity prices putting severe pressure on capital ratios. But a further crisis may be just around the corner, writes Nick Sawyer.

Gaining an edge from Basel

The recent recommendations of the Basel Committee are set to usher in a period of upheaval for many participants in the banking sector. Standard & Poor’s Anthony Albert looks at how to gain a competitive advantage in credit risk management in the light…

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