Credit derivatives
"Deceptive and negligent": How the first CPDO got its AAA rating
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of an AAA rating to ABN Amro’s Surf constant proportion debt obligation in 2006. Lukas Becker...
The fine handed out by an Australian court last year to ABN Amro and Standard & Poor’s was a rare success for post-crisis litigants in structured credit cases. The victors are hoping to repeat the trick...
Risk has recently carried much debate about the curves to be used for discounting derivatives transactions. Lindsey Matthews and Luca Bosatta present a related new methodology for calibrating credit curves...
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More Credit derivatives articles
CDS market faces iTraxx clearing obstacle
Restructuring credit events would cause non-clearable contracts to spin out of cleared index trades
Copulas and credit models
Latent variable models of default are used extensively both in internal credit rating methodologies and in the pricing of exotic credit derivatives. But, as Rüdiger Frey, Alexander McNeil and Mark Nyfeler demonstrate using the copula formalism, such...
Fixing the flaw in sovereign CDSs
Good fortune ensured credit default swaps (CDSs) on Greek debt paid out at a level close to the actual losses suffered by bondholders in the country’s restructuring. But the market cannot rely on luck. Darrell Duffie and Mohit Thukral propose a redesign...
JP Morgan loss was bungled attempt to cut Basel III RWAs, says Dimon
Loss-making unit's RWAs would have tripled under Basel III, JP Morgan chief executive says - but attempting to cut capital burden made its hedges more complex
UBS: Sef aggregation 1.0
With trading of cleared OTC products set to migrate to a profusion of new platforms, dealers are planning to act as liquidity aggregators - and UBS has already taken a step in that direction. By Ramya Jaidev
Isda AGM: CCPs invited to join determinations committees
Central counterparties have been invited to join the Isda credit determinations committees – but they will not have a vote
Dealers draw up contract for covered bond CDSs
Credit Suisse, Deutsche Bank and JP Morgan expect demand for spread volatility protection on covered bonds
Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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