Credit markets
Moody's unveils default loss model
Credit tech
Books | The equities architect
Structured Equity Derivatives, the Definitive Guide to Exotic Options and Structured Notes by Harry Kat, John Wiley & Sons. 392 pages, $89.95. ISBN 0–461–48652–3
The risk breaker
To claw its way back from its problem-loan nadir in the late 1990s, Bank of America embraced risk-adjusted return metrics and credit risk distribution techniques. Amy Brinkley is overseeing its turnaround.
BNP Paribas begins issuing synthetic CDOs in Asia
French bank BNP Paribas plans to start issuing arbitrage synthetic collateralised debt obligations (CDOs) for the first time in Asia, ex-Japan, according to a Hong Kong-based official.
Risk Awards dinner raises $160,000 for WTC appeal fund
Risk magazine’s Awards dinner raised more than $160,000, according to the initial count, for Risk magazine’s World Trade Center appeal fund. The dinner, held last night in the Regent Hotel, Wall Street, featured the presentation of the annual Risk Awards…
Legislation | Enron-related regulatory issues hit derivatives industry
Enron’s collapse has sparked calls for more derivatives regulation and stricter accounting standards in the US. What proposals should the derivatives industry be concerned about? Polyn
Solving the pensions puzzle
A host of market and structural problems are plaguing US corporate pension plans. Derivatives dealers are pitching a number of potential solutions.
Deutsche goes extra mile to underwrite Pimco CDO
Deutsche Bank has agreed to allow Pacific Investment Management Company (Pimco) full and unfettered access to its proprietary portfolio of corporate loans to secure the underwriting mandate for Pimco’s forthcoming Euro-denominated CDO.
CDOs of asset-backed securities prove their worth, says Moody's
Collateralised debt obligations (CDOs) of asset-backed securities (ABS) and other repackaged securities,have suffered minimal credit deterioration in response to the general macroeconomic decline, according to credit rating agency Moody's.
Fitch first to assign CDO asset manager ratings
Fitch will become the first rating agency to assign credit ratings to CDO (collateralised debt obligations) asset managers. The New York-based agency is taking a new, flexible approach to its methodology for its forthcoming rating process, aimed at…
Merrill takes on more risk, sets up equity prop-trading unit
Merrill Lynch appears determined to take more risk on its own books as part of an effort to boost profits. The firm’s latest move is to set up an equity prop-trading unit to trade equity-linked products. The development follows a decision last year to…
The need for hybrid models
In response to the above article, the authors argue that pure firm-value approaches to default prediction are fundamentally flawed.?
Predictive Merton models
Do default indicators such as agency ratings improve upon the predictive power of KMV’s proprietary default prediction methodology?
Retail banking accounts for two-thirds of op loss events, says Basel survey
BASEL, SWITZERLAND -- Operational losses in retail banking accounted for two-thirds of the number of operational losses suffered by banks, according to a survey by global banking regulators. The survey sought data about the impact on major banks of the…
Loss survey supports arguments against capital charges, say fund managers
London - The results of a survey by global banking regulators of banks’ operational loss experience support arguments against using capital charges as the main protection against operational losses in fund management and broker activities. This is the…
Unlocking ABS value
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