Credit risk
Standing out from the crowd
Credit Risk
A clear answer to credit problems
Credit Risk
Scaling the credit cliff
Credit Risk
Cross-border conundrums
Credit Risk
Insecurity and innovation
Introduction
How to spot a VaR cheat
Traders can use weaknesses in VaR measurement to make it appear that they are not taking any risks. Brett Humphreys exposes how easily this can be done
On the ball
Relegation risk
Worth the trouble?
Collateral managers
Bespoke panacea?
Substitution rights
Diversity scoring for market value CDOs
Cutting edge: Risk measurement
CDO market looks to a broader asset base
Collateral
Solutions or smokescreens?
Structural enhancements
Credit ensembles
Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…
Margin notes
Brett Humphreys explains how to measure and manage margin risk, an often-overlooked – yet often-significant – risk exposure
Making the grade
As credit risk is now a major concern in the energy industry, EPRM takes a look at CreditGrades, a risk measurement tool from risk analytics firm RiskMetrics
New dawn for loan portfolio management
The way institutions handle credit is changing. Charles Smithson compares the results of two surveys done in the past two years to discover how portfolio management has evolved.
Mixed signals
Introduction
New dawn for loan portfolio management
Credit risk survey
Canada’s shifting credit scene
Canadian banks
Testing rating accuracy
Cutting edge: Ratings validation
Enterprise-wide risk management: Knitting together bank risks
Thanks to recent events, bank risk managers are placing more emphasis on integrating counterparty and credit risk into other portions of their enterprise-wide risk management systems.
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…