Credit risk
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
Rehabilitating innovation
The financial crisis has put greater focus on the accuracy of models, with some regulators criticising banks for placing too much reliance on model outputs. In an introduction to this month's Cutting Edge section, Mauro Cesa, Risk's technical editor, and…
Spreading fear
As credit spreads on financial institutions widened in the second half of 2008, some banks registered substantial gains on their own debt. The International Accounting Standards Board has subsequently ignited a debate over the inclusion of credit risk in…
Habsburgo at the helm
Family office Habsburgo and Asociados in Mexico builds large, tailor-made portfolios comprised of structured products for its clients. The approach has paid off over the past year as the products have performed better than traditional assets, but while…
The big clean-up
The US Treasury's Public-Private Investment Program aims to cleanse balance sheets of toxic assets and revive financial markets. But questions remain over who will participate, how assets will be priced and how big a dent the scheme will actually make on…
Revitalising the markets
Governments are facing unprecedented pressure to finance bank rescue schemes through huge debt issuance. With supply coming thick and fast, the UK Debt Management Office (DMO) has been steering a hazardous path to place its debt into the markets. Until…
Ratings redux
Rating agencies have been lambasted for perceived failings in their collateralised debt obligation (CDO) rating methodologies. The leading agencies have published revised methodologies, but has it swung too much the other way? With the CDO market in the…