Credit risk
Mizuho to launch ¥1.27 trillion CuBic One synthetic CLO
Mizuho Corporate Bank, a unit of Japan's Mizuho Holdings, is launching a ¥1.27 trillion ($10.4 billion) three-year synthetic balance sheet collateralised loan obligation (CLO), via special purpose vehicle CuBic One Limited. Mizuho International and…
Sweden’s credit risk maverick
“We don’t like portfolio management,” says Björn Börjesson, executive vice-president and head of the central credit department at Svenska Handelsbanken in Stockholm.
Correlation and credit risk
Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework.
Creative solutions for unique problems
Credit risk management systems are surprisingly sophisticated at many Nordic banks. Ellen Leander examines the changes being made to existing infrastructure to keep that edge.
Looking to the new horizon
Can a firm cut costs while increasing operational risk controls? This is just one of the many challenges facing the investment industry.
Keeping up with credit derivatives
Technical
Creating successful clearing solutions
Sponsor's Statement
The power of the CDS
Credit default swaps
Correlation and credit risk
Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework. An important issue is the relationship between probability of default and loss-given default. In this last of four…
Beyond the pail
Australia’s regulator has hinted that it may work outside of the Basel Accord to set its own risk weightings for residential mortgages if adjustments aren’t made, writes Nick Sawyer.
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Basel II could reinforce economic cycles more than expected
The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Calculating portfolio loss
For credit portfolios, analytical methods work best for tail risk, while Monte Carlo is used to model expected loss. However, products such as CDOs require a model for the entire distribution. Sandro Merino and Mark Nyfeler meet the challenge by…
Clearing the obstacles
Credit quality is essential to every energy firm’s success, as recent problems at Aquila and Dynegy attest. Couple this with the post-Enron threat of increased regulation for OTC energy derivatives and it is clear that the energy trading market needs…
Running for cover
Energy
Beyond the pail
Basel accord
Isda requires CDS reference obligation specification at trade date
The International Swaps and Derivatives Association has decided that confirmations should specify reference obligations as of the trade date for credit default swap (CDS) transactions.
LCH and x-clear to launch pan-European CCP next year
The London Clearing House (LCH) and Swiss central counterparty (CCP) x-clear are to launch a pan-European CCP structure in March 2003 for pan-European cross-border equity exchange virt-x.
Credit Markets Update: Negative equity sentiment transmutes into wider spreads
European credit default swap spreads were wider this week, with investors buying protection as credit concerns and accounting scandals in the US contributed to negative investor sentiment that led to a further battering of stocks.
Credit Markets Update: France Telecom fluctuates in thin markets
The cost of credit protection on troubled telco France Telecom fluctuated this week within a 100 basis point range, causing knock-on effects on the spreads of other European telecoms in jittery markets that saw little trading activity. But positive…