Collateral

Collateralization: A safety net for investors?

The proliferation of credit derivatives has given rise to the widespread use of collateralization—posting collateral against the risk of default. But as Saskia Scholtes reports, this practice may be creating its own risks.

Collateralization: A safety net for investors?

The proliferation of credit derivatives has given rise to the widespread use of collateralization—posting collateral against the risk of default. But as Saskia Scholtes reports, this practice may be creating its own risks.

Ultimate recoveries

Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult.

Ultimate recoveries

Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult. Craig Friedman and Sven Sandow tackle the problem by maximising the creditor’s utility function, constructed…

Unexpected recovery risk

For credit portfolio managers, the priority is to properly incorporate recovery rates into existing models. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates to depend on the idiosyncratic part of a borrower’s asset return,…

Capital concerns

Basel’s proposals for banks involved in the repo markets have caused widespread dismay. As a result, trade organisations around the world are petitioning the committee for a wholesale rethink.

Credit, collateral, capital

Christine Stanschus and Michael Clarke examine the potential impact on collateralisation of the proposed new Basel Capital Accord, and outline the top five things that collateral managers should do to gain maximum regulatory capital benefits.

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