Credit risk
Exposing counterparty risk exposure
Banks have focused on improving counterparty credit risk management capabilities since the onset of the financial crisis. How are they changing systems to ensure accurate monitoring of exposures on a real-time basis?
Collateral replacement
At the height of the financial crisis, manufacturers were quick to mitigate mounting counterparty risk concerns by deploying products issued by collateralised special purpose vehicles. But now, as the yield junkies return and retail appetite for…
Modest means
Credit loss models typically calibrate default separate from loss given default. Here, Jon Frye calibrates simultaneously, using credit loss data. This produces a surprising test result: the credit loss models do not significantly outperform a…
Scuppered by sukuk
Dubai World was bailed out by Abu Dhabi in December, but the near default of sukuk issued by Dubai property company Nakheel could have much broader implications for the development of Islamic finance.
A Firms hand
Lou Eccleston, executive managing director of Fixed Income Risk Management Services, talks to Alexander Campbell
Breaking the chains
The need to diversify customer credit risk and the rising importance of fiduciary standards make open architecture distribution vital to structured products’ future. As advisers become concentrated in bigger institutions and market volumes remain static,…
BarCap launches LNG services with Excelerate deal
Barclays Capital today launched a liquefied natural gas (LNG) services offering with a new agreement to market Excelerate Energy’s LNG cargoes in the northeast US market.
Knock-on FX
Many banks are now including a credit charge in swap and forward transactions, while increased volatility has upped the cost of options. At the same time, the financial crisis has sparked a suspicion of complex products. How are corporate hedgers and…
The road to a quality Street
The Lehman Brothers bankruptcy was unprecedented in US structured products history and brought the burgeoning market to its knees. After capitalising on certificates of deposit, there are indications that investors may be recovering their poise. Richard…
Spotlight on exposure
The pricing of derivatives credit charges and risk management of counterparty credit risk portfolios pose many challenges. Julian Keenan reviews the approaches available and makes some recommendations