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...
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...
More Credit derivatives articles
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
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 reports
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 in Europe – but what are their chances? Lukas...
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 – for issuers, sectors and markets
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...
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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