The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management … for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as … a result of the crisis. Over the pastdecade, credit derivatives emerged as an important part of credit risk management …

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used … in the credit derivatives market for price communication.During the financial crisis, implied correlations have been … quite volatile indicating thegrowing fraction of systematic credit risk of STCDOs. This paper analyses the determinantsof …

Credit risk measurement and management become more important in all financial institutions in the light of the current …

” provides in its first pillarfor a finer measurement of credit risk. Banks that have received supervisory approval to usethe … requirement or Credit Value at Risk for given portfolios inboth approaches respectively and contrast the results. …

current discussion around the sub-prime crisis let assume. However,CMBS as credit-derivatives feature various factors that … influence the risks arising from acommercial-mortgage credit agreement as well as marked-risks influenced by economy andmarked …