Counterparty credit risk
Government stakes in banks raise counterparty conundrum
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Speed tests
Counterparty Credit Risk
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…
Counterparty risk growing threat to global market, says study
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Banks turn to transparency during turmoil
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How to turn risks into opportunities in today's derivatives markets
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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,…
Going the wrong way
Counterparty Credit Risk
Counterparty risk and CCDSs under correlation
Hybrid Products
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…
Industry group warns of risk of derivatives crisis
The derivatives industry urgently needs to improve its transaction handling and risk transparency if it is to avoid a crisis, an industry taskforce said yesterday.
Hedge funds solve the risk culture puzzle
As recent reverses amply demonstrate, risks beyond investment risk can cause even the most sophisticated hedge funds to take a battering. Navroz Patel finds out about leading managers' greatest fears, and how they are tackling thorny issues such as…
The Monte Carlo mindset
There is a rich seam to be mined in the provision of tools to calculate counterparty credit risk. Clive Davidson looks at what's on offer so far, and what could be coming on to the market.
Regulatory fines moved into legal risk definition
According to a source close to the Basel Committee on Banking Supervision, the concept of legal risk will be explicitly broadened in the final version of the Basel II document, due out at the end of June – to include fines, penalties and punitive damages…
