Credit risk
Collateral damage
European CLO Market
Introduction
Credit risk
Leveraging demand
Leveraged loan CDS
Cementing relationships
Profile
Appetite for equity
Japan
Catalysing liquidity
Profile
Bumped along by Basel II
Credit Portfolio Management
Puzzled by succession
Event risk
Primus Financial: the risk repository
Primus Financial occupies a unique place in the credit derivatives market by writing CDS protection – and then holding the swaps to maturity
Credit risk
Introduction
Lightening up
Structured investment vehicles
Problems & Solutions: Financially Motivated Model Performance Measures
There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson, Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…