Mortgages
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
Regulatory miasma makes life difficult for Ocwen CRO
Op risk veteran Marcelo Cruz says firm faces “absurd” quantity of rules in US mortgage market
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
This paper examines the risk diversification of ERMs via the reinsurance strategy.
Nine years later, RMBS woes still haunt banks
Megan van Ooyen from SAS rounds up the top five operational risk losses for April 2016
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
Apra toughens mortgage risk weights for Australian banks
Financial stability fears drive regulators to raise capital levels for banks
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Capital floors could spur risk-taking – Swedish FSA
"Very careful" calibration needed to avoid bad incentives, says senior supervisor
Asset manager of the year: DoubleLine Capital
Risk Awards 2015: Critics challenged to look at the data by fund branded ‘not rateable’
Hedge funds, leverage and mortgages: why Fannie and Freddie's new deals worry some experts
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortgage finance requires a more stable source of capital. By…
SkyBridge Multi-Advisor Hedge Fund Portfolios - Series G: SkyBridge Capital
Walks and talks like a multi-strat
400 Capital Credit Opportunities Fund: 400 Capital Management
Americas Awards 2013
Gapstow Opportunity Fund: Gapstow Capital Partners
Americas Awards 2013
Mortgage hedge funds refine focus after bumper 2012
Finer focus needed
Global Emerging Markets & Macro Fund (Gemm): BTG Pactual Global Asset Management
13th Annual European Single Manager Awards 2013
Hedge funds expect more alpha in mortgage trades
Despite a spectacular run-up in prices since 2010, US residential mortgages continue to offer strong opportunities for hedge funds. Investors should continue to see gains throughout 2013
Swedish banks braced for home loan capital hike
A weighty issue
BoE's Tucker: FPC capital powers 'won't be popular'
Attendees at ACT conference raise concerns about increased lending costs after Bank of England’s Tucker argues for powers to raise sectoral capital levels