The underlying asset pool of collateral debt obligations (CDOs) simultaneously encompasses credit risk and market risk …. However, the standard CDO pricing model not only underestimates the risk to the asset pool due to a poor description of the … systematic sudden shocks on the asset pool. This paper studies the joint impact of interrelated market and credit risk factors on …

We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising … from an interest rate hedging swap assisted by a "one-way" collateral agreement. This risk emerges when the swap is … originator. We show that the counterparty risk of the originator may be removed by adding a chain of back-to-back credit …

Banks increasingly recognize the need to measure and manage the credit risk of their loans on a portfolio basis. We … provided new credit risk management tools. However, in the addressed market segment adverse selection and moral hazard problems … risk of middle market commercial loan portfolios depends on the development of incentive-compatible structures which solve …

collateralised debt obligations -- 1.1 Introduction -- 1.2 Securitisation and tranching -- 1.3 Credit derivative products -- 1 … rating transition dynamics -- 2.5.3 Determining risk-neutral transition probabilities -- 2.6 Chapter review -- 3 Valuation of …