Credit risk
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…
A creditable spread
Credit
The three flavours of VaR
Each of the three methods of calculating value-at-risk has its pros and cons. Brian Shydlo of Sirius Solutions examines them
All shook up
Structured Products
Keep what you sow
Regulatory capital
Escape hatch
Monolines
Speed tests
Counterparty Credit Risk
The CPM challenge
Credit Portfolio Management