Counterparty credit risk

The search for a deposit base

The fallout from the default of Lehman Brothers continues spread across the structured products industry, as arrangers seek to reassure nervous high-net-worth clients that their investments are safe. Michael Marray reports

Rocked by counterparty risk

The demise of Lehman Brothers has triggered fresh concerns about counterparty risk, creating a wave of novations and forcing dealers to think harder about the possibility of another major derivatives counterparty defaulting. Mark Pengelly reports

O Brothers, where art thou?

The bankruptcy of Lehman Brothers, coming on the back of the conservatorship of Fannie Mae and Freddie Mac, sent market participants rushing to compute their exposures and replace affected hedges. How did the market bear up? By Peter Madigan and Nick…

Q&A: counterparty risk - Spot the differentiation

The credit quality of product issuers has become a prime concern following the downfall of US investment bank Bear Stearns. Sophia Morrell asks seven industry players - issuing banks, an index provider, a distributor, a risk analysis and pricing company…

Really too big to fail?

Are bulge-bracket investment banks really too big to be allowed to fail? Despite the upheavals such a failure would cause, the consequences may have been overblown, argues David Rowe

EC outlines changes to CRD

The European Commission (EC) has launched a public consultation on more than 50 technical changes to the Capital Requirements Directive (CRD).

On thin ice

Following the near-collapse of Bear Stearns, even trades conducted with interbank dealers can no longer be considered risk-free. With so much of the derivatives market concentrated in the hands of a few dealers, what would happen if a major counterparty…

Counterparty risk and CCDSs under correlation

Counterparty risk under correlation is relatively unexplored in the financial literature. Damiano Brigo and Andrea Pallavicini extend previous analysis beyond swap portfolios. A stochastic-intensity jump-diffusion model is adopted for the default event,…

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