Sovereign CDSs as a risk indicator
Revised rules replace laborious consent-then-confirm novation process
US bank believed to have purchased bulk of $8.6 billion credit derivatives portfolio.
Morgan Stanley is said to have acquired the bulk of an €8.6 billion portfolio of complex credit derivatives from Natixis last month.
New York Fed general counsel Thomas Baxter takes issue with New York Times article which says Fed ignored advice from advisers on AIG counterparty CDS issue
Eurozone politicians are pushing for a ban on naked sovereign credit default swaps (CDSs) – but the eurozone CDS market is relatively young. In emerging markets, where it has a longer history, CDSs are sometimes the hero, sometimes the villain – and...
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows...
The world is watching nervously as sovereign debt is rocked by fiscal and economic crises in the eurozone.
Shorting shares and bonds could be restricted or even banned under new EC proposals, but naked credit default swaps are safe for now.
Protection sellers on monoline face 80% cash value payout
Ballooning credit default swap spreads on European sovereigns have encouraged some market participants to sell credit protection on their own country. But how much is this protection really worth, and could this selling contribute to systemic risk? Mark...
The US Securities and Exchange Commission filed a lawsuit against Goldman Sachs in April, alleging it had misled clients by not disclosing that a major hedge fund had helped select the underlying assets in a collateralised debt obligation and was planning...
Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be...
Credit fund veteran Mark Okada says Bafin restrictions on short selling have increased market volatility
Sovereign CDS transactions eclipsed corporate protection volume in past nine months.
European Parliament committee calls for a smaller derivatives market, citing "distorting" effect.
Wider sovereign debt insurance costs follow Spanish ratings downgrade and falling equity prices
Tensions on the Korean peninsula mean CDS prices are likely to stay high for some time, analysts say
Fall in cost of insuring eurozone sovereign debt follows a volatile week
Goldman Sachs fraud allegations show portfolio managers credit selection interests are often not aligned with benefiting CDO note-holders, say lawyers.
CDS spreads' volatility earlier in the week over for now
Eurozone sovereign debt insurance cheapens
Increased protection selling on sovereigns raises fears about systemic risk