Credit risk
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Defining the boundaries
Him Chuan Lim, Basel II programme director at DBS Bank in Singapore, talks to Ellen Davis about operational risk's complex relationship with both credit risk and market risk
Profile - Savvy with synthetics
Credit Risk
CDO managers - Do the ends justify the fees?
Credit Risk
Default and recovery correlations - a dynamic econometric approach
Integrating coherences between defaults and loss given default (LGD) is postulated by Basel II. If there is a positive correlation between the two, separate models for each lead to biased estimates for the LGD parameters, and the economic loss is…
Default and recovery correlations - a dynamic econometric approach
Integrating coherences between defaults and loss given default (LGD) is postulated by Basel II. If there is a positive correlation between the two, separate models for each lead to biased estimates for the LGD parameters, and the economic loss is…
Wait and CDO
Profile
A new twist
CPDOs
Pushing the boundaries
Credit Funds
Credit Risk
Introduction
Default and recovery correlations - a dynamic econometric approach
Integrating coherences between defaults and loss given default (LGD) is postulated by Basel II. If there is a positive correlation between the two, separate models for each lead to biased estimates for the LGD parameters, and the economic loss is…
BCBS issue paper on credit risk concentration
A recent research task force project reviews the impact of credit risk on levels of bank distress
Information gold mine
Correlation trading
Local opportunities
Emerging markets