The loan credit default swap (LCDS) was originally designed as an alternative to the traditional credit default swap (CDS) due to its effectiveness in hedging the underlying loans. However, there do not...
We study the pricing of a continuously collateralized credit default swap (CDS). We make use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we find that,...
The computational requirements of Solvency II are driving the need for more computing power and data storage accessible on a scalable basis. Early adopters are leveraging cloud computing for their Solvency II implementation. Others are taking a more cautious approach, waiting for the industry to address key concerns such as security before they to embrace computing.
More Credit risk articles
This is the first of a two-part series on credit valuation adjustment (CVA). In this piece, Carlos Blanco and Michael Pierce introduce the concept of CVA and show how to calculate CVA at the trade and portfolio levels
Pension and insurance firms complain CCPs treat them the same as hedge funds
Clearing members would be forced to guarantee trades executed by their clients' clients - on terms the member firms have not agreed
A number of downgraded banks are required to find swap counterparty replacements for over 300 structured finance transactions – but this is proving difficult, with few candidates willing or able to step in
Proposals to require derivatives users to post initial margin on uncleared trades will cause many end-users to stop using derivatives, say a majority of survey respondents
Stockholm-based TriOptima has designed a way to transfer unclearable risk into a central counterparty. All the company has to do now is convince the world’s regulators to change their rules. By Michael Watt
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.