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Constant Proportion Debt Obligation (CPDO) March 17, 2007

Posted by riskopedia in Basel II, Economy, Of interest, Retail Risk, Risk Management.

This is a new product when introduced sometime around last year (2006). Here is a presentation by ABN AMRO, cpdo.pdf


Through the Cycle – PD Scalar March 16, 2007

Posted by riskopedia in Basel II, Economy, PD, Regulator, Retail Risk, Risk Management, scorecard.

For Basel modellers, a common problem is a relatively short period of data. In most firms, they might not even able to get up to 5 years worth of data. Hence, the PD models would normally reflecting a Point in time (PIT) estimate or a Short run cycle (SRC) estimate.

Now, its nothing wrong having a PIT estimate. It is really up to the Bank’s senior management to decide if they want:


Sub-prime mortgage March 12, 2007

Posted by riskopedia in Economy, Regulator, Retail Risk, Risk Management.

HSBC has annouced its financial results last week (5/3/2007), indicating a profit warning due to its US lending units, one third of the group’s total earnings, that risk management and other controls are not meeting the expectations of with the group’s overall direction. The “specific” unit which Stephen green, chairman of HSBC holdings, was referring to the US mortgage business, which profit has substantially dropped due to the unexpected increase in delinquency in the sub-prime mortgage area. I am not going into too much details of what has already been announced, you can read them in http://www.hsbc.com/hsbc/news_room/news/news-archive-2007?cp=/public/groupsite/news_room/2007_archive/hsbc_holdings_plc_2006_annual_results.jhtml&isPc=true

or google it.

Anyway, reason I raised this topic, along side from the above, here are couple of articles I have read today: (more…)

NZ OCR has raised 25 basis point to 7.5% March 8, 2007

Posted by riskopedia in Basel II, Economy, LGD, Regulator, Retail Risk.
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The New Zealand Reserve bank has raised the Official Cash rate (OCR), which is used as a tool to control the monetary policy, by 25 basis point to 7.5% this morning. You can refer to http://www.nzherald.co.nz/section/3/story.cfm?c_id=3&objectid=10427700, as well as http://www.rbnz.govt.nz/news/2007/2960402.html

I am not going to analysis in any more depth or facts whether Alan Bollard should increase the long lasted rate to 7.5%. There are already enough commentators and news out there who will do this job.  

What interested me is the one thing I have picked up from the article: