Book contributions by Risk Staff
Portfolio Construction and Management
Edited by Brice Benaben and Julien Jarmoszko
Articles by Risk Staff
Die Lehren aus der Katastrophe
Katastrophenrisiko
Zeit für ein neues Modell?
Ökonomische Kapitalmodelle
Regulatorisches Chaos
Leerverkäufe
Basel III?
Kommentar
Zur Validierung von Marktrisikomodellen
Der Neueste Stand - Marktrisiko
Changing Hats
Changing Hats
Counting on the counterparty
High-profile banking failures have led to uncertainty over the ability of credit derivatives counterparties to honour their side of the trade. Contingent credit default swaps, or CCDS, are designed to mitigate this risk. But will plans for a central…
New year, new hope for euro corporate bonds
Now that issuers have woken up to the unpalatable truth that wide spreads are here to stay - for the short term at least - a mini-rally in European bond issuance has ensued. Laurence Neville looks at how the corporate bond market is adjusting to its new…
Market graphic - The 2008-2010 credit cycle
Default rates are on the way up, but by how much? Ulf Erlandsson and Graham Rennison, quantitative analysts at Barclays Capital, use data on credit conditions to predict default rates and economic growth rates over the next two years of the cycle
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The market-consistent value of liabilities and the credit crunch
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Benefit over the long term
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