Credit risk
Nerves of steel
Credit opinions
A long-term engagement
Corporate profile
Risk rationalised
Risk rationalised
A rise in VAR
Risk management
Pushing boundaries
Sharia-compliant CDOs
Credit risk
Introduction
Problems & Solutions: Recovery Swaps and CDO Deltas
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…
Hitting the spot
CDOs
A new target
Retail CDOs
Credit risk
Introduction
Estimating default correlations using a reduced-form model
Robert Jarrow and Donald van Deventer show how to estimate default event correlations using a reduced-form model with historical default data.
Problems & Solutions: Probabilities of Default
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…
From Basel II to Basel III
Portfolio risk