Credit risk
For love nor money
Salaries
SMBC and UFJ issue synthetic CLOs
New angles
Just starting out
Credit derivatives
HVB manages Asian hybrid CDO
New angles
BOK approves first hybrid CLN
New angles
Urgently seeking capital
Balance sheet CLOs
Taking it slow
Basel Accord
One tranche at a time
Synthetic CDOs
Technology briefs
Systems
Derivatives disclosure calls mount
Cover story
CMA to use Creditex data
Credit Market Analysis (CMA) is to use Creditex's credit default swaps (CDS) pricing data within its credit analytics.
G30 - Moving in the right direction
The latest G30 report on global clearing and settlement offers more than a few worthwhile suggestions. But Kristina West says there is still much to be done before the industry will wholly embrace the recommendations.
Sponsor's article > No cure through the cycle
Some have argued that the antidote for pro-cyclicality in the Basel II capital requirements is the use of 'through-the-cycle' estimates of default and recovery rates. David Rowe argues that, whilethis might mitigate the pro-cyclical impact of the Accord,…
HVB closes $1 billion CDO
Germany’s Bayerische Hypo- und Vereinsbank (HVB) has closed a $1 billion hybrid collateralised debt obligation, according to an official at the German banking group. The transaction was structured by HVB in Singapore, and HVB Asset Management Asia is the…
Isda muddies debt waters
The International Swaps and Derivatives Association (Isda) has finally released its 2003 credit derivatives definitions, which take effect on March 17.
Contributions to credit risk
Optimisation of credit portfolios requires that risk contributions be quantified. However, there has been disagreement over which of three popular tail risk measures should be used. Here, Alexandre Kurth and Dirk Tasche offer a way forward, showing how…
Random tranches
How should economic or regulatory capital be allocated to tranches of securitisations? The standard Basel conditional dependence calculations are complicated in this case by non-linearity effects and complex deal dependence. Here, Michael Gordy and David…
Margin notes
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure
On shaky ground
Cover story
Keeping your options open
Credit options
RiskNews review
RiskNews review