Credit risk
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…
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the 'granularity adjustment') to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the ‘granularity adjustment’) to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
An overwhelming problem
Introduction
Fighting credit risk demons
Credit risk
Avoiding pro-cyclicality
Basel II and SMEs
The credit implosion
Introduction
The credit risk time bomb
Insurers
Realigning exposures
CDO restructuring
PFE: ahead of its time
Modelling
Reinventing the market
Cashflow CDOs
CDS: the quest for neutral pricing data
Price data services
The hire ground
Recruitment
The credit risk time bomb
Insurers remain very keen to both guarantee and invest in credit derivatives products, but key regulators are about to release reports indicating that risk transfer between the insurance and banking sectors might not be such a good idea.
Global credit risk management: a business necessity
Sponsor's statement
Synthetic portfolio credit products: coping with credit event risk
Sponsor's statement
Keeping an eye on the long-term
Brett Humphreys discusses the problems with standard credit risk limits and proposes limits that may work better
Tools for the trade
Credit Risk
Finding a solution to the credit problem
Credit Risk
Proper procedures
Credit Risk
Heeding the warning signs
Credit Risk
A whole new ball game
Credit Risk
Demystifying credit risk
Credit Risk
Higher or lower?
Credit Risk