Credit derivatives
SEC forces Ice into single-name CDS clearing U-turn
Clearing house has been told its own rules prevent it from shelving buy-side clearing for single-name CDS contracts
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions....
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex...
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
More Credit derivatives articles
Ice blames SEC as it drops single-name CDS clearing plans
Firms that trade index and single-name CDSs will see margin requirements increase
SEC's last-minute CDS margin fix sparks buy-side anger
Stop-gap margin solution would force most firms to post twice as much collateral as CCP members
Zombie firms are first Dodd-Frank major swap participants
Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
CVA proxying: Nomura's alternative to "flawed" EBA method
The European Banking Authority has proposed a way for banks to calculate a credit valuation adjustment capital charge when credit default swap spreads are absent or illiquid – but it does not solve the problem, argue Eduardo Epperlein, Kyriakos Chourdakis,...
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Harnessing credit and debit valuation adjustments to credit default swaps may have seemed a good idea a few years ago, but as that market shrinks, it is eroding their foundations. Laurie Carver reports
As CDS market shrinks, CVA questions grow
Sometime in mid-2006, the outstanding notional of the single-name credit default swap (CDS) market passed the $15 trillion mark, according to the Bank for International Settlements (BIS). It was on a steep upward trajectory that reached a $33.4 trillion...
ABN Amro CPDO panned by Australian judge for ‘deceptive and negligent’...
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of a triple-A rating to ABN Amro’s Surf constant proportion debt obligation in 2006
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Using market and credit risk analytics to strengthen performance
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