GLG News by Financial Guaranty Experts

VaR requires past price series which is not reliablie for illiquid securities VaR can be used for credit risk to do Credit VaR but this is frequeently not done VaR does indeed miss liquidity risks VaR entails many assumptions and so it is hard to compare VaR from one to another institution Internal...

First, ratings downgrades are just a matter of time.  Secondly, we face a long period of uncertainty (that is, no one is really sure who owes what and to whom, et cetera) and pain -- a mess that institutions are going to have to unwind in order to evaluate and properly...

Bond insurers will be hard pressed to survive mounting losses on CDOs and other securities that they guarante.  Egan-Jones estimates that Ambac losses may reach $4.3 billion.

If this had been a mere subprime crisis, it would now be over. But it is not, and nor will it be over soon.  Any near-term rally in the bear market is likely to be led by U.S. companies that will get the biggest bang from the Federal Reserve's latest interest-rate cut. But this is exactly the part...

Any near-term rally in the bear market is likely to be led by U.S. companies that will get the biggest bang from the Federal Reserve's latest interest-rate cut. But this is exactly the part of the economy where the reality of a slow recovery has the power to repeatedly dash premature optimism. Take...

This is not merely a subprime crisis.  Several other (and larger) pockets of the credit market are also vulnerable, (such as) credit default swaps, relatively modern financial instruments that allow bondholders to insure against default.

This article summarises Temasek's recent equity investment in Merrill, including the price paid and future intentions.  Temasek appears to be more than satisfied with its investment and is inclined toward similar investments (financial institutions undervalued due to over-estimates of subprime/CDO...

1 Rating agencies should perhaps step back a little from ratings based largely on what they put forward as immutable quantitative stress tests that were not supposed to change with the credit cycle and turn a bit more to judgment and subjectivity because credit is not just a numbers game. ...

Press commentaries on looming bond insurer downgrades are depressing share prices but don't really address some fundamental differentiating factors between the insurers nor do they take into account the nature of bond insurance.  Three issues are key: (i) structure of the bond insurance / financial...

Citigroup's eroded capital ratio will put added pressure on the company to reduce its dividend payment or take other steps to protect its capital position.