Policy Group Flashes Caution Signal

French, Jeff
August 2005
Investment Dealers' Digest;8/1/2005, Vol. 71 Issue 30, p10
Trade Publication
Focuses on the warning from the Counterparty Risk Management Policy Group regarding the risks facing the credit derivative market in the U.S. Factors that contributed to the risks such as the widespread use of complex, illiquid products; Reaction of some market participants to the warning which they dismiss as mere grandstanding; Actions suggested by the group to cure a couple of key problems in the over-the-counter derivatives market; Estimated number of business days in the backlog of credit derivative trade confirmations.


Related Articles

  • Financial Innovation and Risk Management: An Introduction to Credit Derivatives. Brandon, Kyle; Fernandez, Frank A. // Journal of Applied Finance;Spring/Summer2005, Vol. 15 Issue 1, p52 

    This article presents an overview of credit derivatives. By rationalizing pricing of credit products, the development of the credit derivatives market has promoted efficiency. Financial institutions that have originated, serviced and held credit risk of various types of financial assets such as...

  • Accounting Standards Update (ASU) No. 2010-11, Derivatives and Hedging (Topic 815): Scope Exception Related to Embedded Credit Derivatives. Pearson, Robert // GAAP Update Service;4/30/2010, Vol. 10 Issue 8, p1 

    The article discusses the Accounting Standards Update (ASU) No. 2010-2011 issued by the Financial Accounting Board (FASB) in March 2010. It states that the FASB handles the said project to clarify whether its scope exception applies to embedded credit derivatives. It offers observation that the...

  • credit derivatives.  // International Dictionary of Finance, 4th Edition;2003, p61 

    Information on the term "credit derivatives" is presented. Credit derivatives enable lenders to protect themselves against default. Credit derivatives allow lenders to insure against credit risk while keeping assets on their balance sheets.

  • Credit Derivatives Market In Turkey: Results Of A Survey Study. Anbar, Adem; Karabiyik, Lale // Journal of Academic Studies;Feb-Apr2007, Vol. 9 Issue 32, p57 

    The article presents information on the credit derivatives market study in Turkey. Credit risk is defined as the risk of losses caused by the default of borrowers. It is noted that various traditional methods were used by banks in credit risk management. Credit derivatives are noted as bilateral...

  • Regulatory concerns relating to operations and risk management in the credit derivatives market. Marsh, Jonathan // Derivatives Use, Trading & Regulation;2005, Vol. 11 Issue 1, p58 

    Looks at the exact nature of the regulatory concerns relating to operations and risk management in the credit derivatives market in Great Britain, and discusses steps that firms should take to address them. Rules and guidance set out by the Financial Services Authority on risk management in the...

  • Wider 'AAA' subprime levels weaken nearterm rebound hopes. Mitchell, Donna // Asset Securitization Report;3/12/2007, Vol. 7 Issue 10, p4 

    The article focuses on the implications when capital markets experiences extreme booms and busts. Whenever this trend is present, there is usually the issue of an overarching repricing of its products. According to Deutsche Bank AG, the repricing of credit risk has occurred rapidly and the...

  • Implied Default Probability and Credit Derivatives. Matsumoto, Koichi // Asia-Pacific Financial Markets;Sep2003, Vol. 10 Issue 2/3, p129 

    Recently many kinds of credit derivatives are traded in the market. The default probability implied in the market becomes important to price some credit derivatives. Also it is useful for managing the credit risk because it includes the market information. In this paper we show how to calculate...

  • VALORACIÓN DE CREDIT DEFAULT SWAPS (CDS): UNA APROXIMACIÓN CON EL MÉTODO MONTE CARLO. Zapata, Juan Camilo Arbeláez; Ochoa, Cecilia Maya // Cuadernos de Administración (01203592);2008, Vol. 21 Issue 36, p87 

    This article presents a Credit Default Swap (CDS) assessment model for Colombian corporate bonds, based on reduced credit risk models and on the Monte Carlo simulation method where the underlying asset follows a stochastic Stopped Poisson process. This model is an interesting alternative for CDS...

  • Using equity options to imply credit information. Elkhodiry, Angie; Paradi, Joseph; Seco, Luis // Annals of Operations Research;May2011, Vol. 185 Issue 1, p45 

    The evolution of credit derivatives has inspired many researchers to investigate the behaviour of credit spreads. Today the growing consensus is that the equity option market provides sufficient information to estimate latent credit parameters. Hull et al. (J. Credit Risk 1(1):3-28, ) propose a...


Read the Article


Sorry, but this item is not currently available from your library.

Try another library?
Sign out of this library

Other Topics