Credit derivatives - Risk.net
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en-gbCME to pass on Ice CDS administration chargesClearing house to hike CDS index trade fees from July after Ice’s determinations committee takeover http://www.risk.net/derivatives/credit-derivatives/5291391/cme-to-pass-on-ice-cds-administration-charges
http://www.risk.net/derivatives/credit-derivatives/5291391/cme-to-pass-on-ice-cds-administration-chargesMon, 19 Jun 2017 13:01:04 +0100Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
http://www.risk.net/derivatives/credit-derivatives/5292071/valuation-and-risk-analysis-of-synthetic-collateralised-debt-obligations-a-copula-function-approach
http://www.risk.net/derivatives/credit-derivatives/5292071/valuation-and-risk-analysis-of-synthetic-collateralised-debt-obligations-a-copula-function-approachThu, 15 Jun 2017 17:34:40 +0100CDOs of CDOs: art eating itself?
http://www.risk.net/derivatives/credit-derivatives/5291671/cdos-of-cdos-art-eating-itself
http://www.risk.net/derivatives/credit-derivatives/5291671/cdos-of-cdos-art-eating-itselfThu, 15 Jun 2017 11:12:12 +0100Considerations for dynamic and static, cash and synthetic collateralised debt obligations
http://www.risk.net/derivatives/credit-derivatives/5291301/considerations-for-dynamic-and-static-cash-and-synthetic-collateralised-debt-obligations
http://www.risk.net/derivatives/credit-derivatives/5291301/considerations-for-dynamic-and-static-cash-and-synthetic-collateralised-debt-obligationsWed, 14 Jun 2017 16:15:23 +0100Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation
http://www.risk.net/derivatives/credit-derivatives/5291271/integrating-credit-derivatives-and-securitisation-technology-the-collateralised-synthetic-obligation
http://www.risk.net/derivatives/credit-derivatives/5291271/integrating-credit-derivatives-and-securitisation-technology-the-collateralised-synthetic-obligationWed, 14 Jun 2017 15:53:07 +0100Synthetic securitisation and structured portfolio credit derivatives
http://www.risk.net/derivatives/credit-derivatives/5291111/synthetic-securitisation-and-structured-portfolio-credit-derivatives
http://www.risk.net/derivatives/credit-derivatives/5291111/synthetic-securitisation-and-structured-portfolio-credit-derivativesWed, 14 Jun 2017 13:23:24 +0100Overview of the CDO market
http://www.risk.net/derivatives/credit-derivatives/5291101/overview-of-the-cdo-market
http://www.risk.net/derivatives/credit-derivatives/5291101/overview-of-the-cdo-marketWed, 14 Jun 2017 12:56:54 +0100Credit derivatives as an efficient way of transitioning to optimal portfolios
http://www.risk.net/derivatives/credit-derivatives/5291091/credit-derivatives-as-an-efficient-way-of-transitioning-to-optimal-portfolios
http://www.risk.net/derivatives/credit-derivatives/5291091/credit-derivatives-as-an-efficient-way-of-transitioning-to-optimal-portfoliosWed, 14 Jun 2017 12:26:48 +0100Portfolio credit risk models
http://www.risk.net/derivatives/credit-derivatives/5291081/portfolio-credit-risk-models
http://www.risk.net/derivatives/credit-derivatives/5291081/portfolio-credit-risk-modelsWed, 14 Jun 2017 12:00:37 +0100Nth to default swaps and notes: all about default correlation
http://www.risk.net/derivatives/credit-derivatives/5291061/nth-to-default-swaps-and-notes-all-about-default-correlation
http://www.risk.net/derivatives/credit-derivatives/5291061/nth-to-default-swaps-and-notes-all-about-default-correlationWed, 14 Jun 2017 11:39:12 +0100The debt and equity linkage and the valuation of credit derivatives
http://www.risk.net/derivatives/credit-derivatives/5290751/the-debt-and-equity-linkage-and-the-valuation-of-credit-derivatives
http://www.risk.net/derivatives/credit-derivatives/5290751/the-debt-and-equity-linkage-and-the-valuation-of-credit-derivativesTue, 13 Jun 2017 17:50:05 +0100What is the value of modified restructuring?
http://www.risk.net/derivatives/credit-derivatives/5287981/what-is-the-value-of-modified-restructuring
http://www.risk.net/derivatives/credit-derivatives/5287981/what-is-the-value-of-modified-restructuringWed, 07 Jun 2017 14:01:17 +0100What’s driving the default swap basis?
http://www.risk.net/derivatives/credit-derivatives/5287966/whats-driving-the-default-swap-basis
http://www.risk.net/derivatives/credit-derivatives/5287966/whats-driving-the-default-swap-basisWed, 07 Jun 2017 13:07:31 +0100The determinants of credit spread returns
http://www.risk.net/derivatives/credit-derivatives/5287951/the-determinants-of-credit-spread-returns
http://www.risk.net/derivatives/credit-derivatives/5287951/the-determinants-of-credit-spread-returnsWed, 07 Jun 2017 12:44:48 +0100Credit derivatives: the past, the present and the future
http://www.risk.net/derivatives/credit-derivatives/5287926/credit-derivatives-the-past-the-present-and-the-future
http://www.risk.net/derivatives/credit-derivatives/5287926/credit-derivatives-the-past-the-present-and-the-futureWed, 07 Jun 2017 11:54:29 +0100Credit derivatives: introduction
http://www.risk.net/derivatives/credit-derivatives/5287916/credit-derivatives-introduction
http://www.risk.net/derivatives/credit-derivatives/5287916/credit-derivatives-introductionWed, 07 Jun 2017 11:38:44 +0100Buy side fuels boom in single-name CDS clearingIce single-name CDS volumes double year on year following switch to semi-annual rolls http://www.risk.net/derivatives/credit-derivatives/4720996/buy-side-fuels-boom-in-single-name-cds-clearing
http://www.risk.net/derivatives/credit-derivatives/4720996/buy-side-fuels-boom-in-single-name-cds-clearingMon, 10 Apr 2017 04:00:00 +0100Ice to clear single-name bank CDSs from April 10US participants will be able to start clearing credit default swaps referencing Ice clearing members http://www.risk.net/derivatives/credit-derivatives/4698976/ice-to-clear-single-name-bank-cdss-from-april-10
http://www.risk.net/derivatives/credit-derivatives/4698976/ice-to-clear-single-name-bank-cdss-from-april-10Thu, 06 Apr 2017 14:25:31 +0100iHeart CDS saga sparks debate over credit rulesTrigger decision highlights product's weaknesses, warns Milbank’s Williams http://www.risk.net/derivatives/credit-derivatives/4124136/iheart-cds-saga-sparks-debate-over-credit-rules
http://www.risk.net/derivatives/credit-derivatives/4124136/iheart-cds-saga-sparks-debate-over-credit-rulesThu, 16 Mar 2017 00:03:00 +0000TLAC-driven CDS index change tipped for SeptemberUK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists http://www.risk.net/derivatives/credit-derivatives/4020986/tlac-driven-cds-index-change-tipped-for-september
http://www.risk.net/derivatives/credit-derivatives/4020986/tlac-driven-cds-index-change-tipped-for-septemberTue, 14 Mar 2017 12:05:00 +0000Fears that bumper coupon could skew iHeart CDS payoutsMarket pushes for change to auction date amid fears of reduced single-name and index CDS payouts http://www.risk.net/derivatives/credit-derivatives/2479920/fears-bumper-coupon-could-skew-iheart-cds-payouts
http://www.risk.net/derivatives/credit-derivatives/2479920/fears-bumper-coupon-could-skew-iheart-cds-payoutsWed, 04 Jan 2017 18:31:00 +0000Bank CDSs straining under TLACUK and Swiss bank Opco CDSs losing relevance as a hedging tool, experts warn http://www.risk.net/derivatives/credit-derivatives/2479710/bank-cdss-straining-under-tlac
http://www.risk.net/derivatives/credit-derivatives/2479710/bank-cdss-straining-under-tlacTue, 03 Jan 2017 00:05:00 +0000Lawyers disagree over iHeart CDS triggerIsda DC to consider whether non-payment of debt held by an affiliate is a failure-to-pay event http://www.risk.net/derivatives/credit-derivatives/2479760/lawyers-disagree-over-iheart-cds-trigger
http://www.risk.net/derivatives/credit-derivatives/2479760/lawyers-disagree-over-iheart-cds-triggerTue, 20 Dec 2016 15:28:00 +0000SG buys $1.3 billion Japan CDS portfolio French bank strengthens position in Asia http://www.risk.net/derivatives/credit-derivatives/2477014/sg-buys-13-billion-japan-cds-portfolio
http://www.risk.net/derivatives/credit-derivatives/2477014/sg-buys-13-billion-japan-cds-portfolioFri, 11 Nov 2016 04:24:00 +0000Skewed views: banks, auditors split on CDS index tradesViews on risks and accounting treatment of arbitrage repack differ across the Street http://www.risk.net/derivatives/credit-derivatives/2474982/skewed-views-banks-auditors-split-cds-index-trades
http://www.risk.net/derivatives/credit-derivatives/2474982/skewed-views-banks-auditors-split-cds-index-tradesThu, 27 Oct 2016 06:00:00 +0100Buy side turns to credit skew notes for yield pick-upRevival of credit derivatives arbitrage strategy targeted at insurers and private banks http://www.risk.net/derivatives/credit-derivatives/2474839/buy-side-turns-credit-skew-notes-yield-pick
http://www.risk.net/derivatives/credit-derivatives/2474839/buy-side-turns-credit-skew-notes-yield-pickFri, 21 Oct 2016 06:00:00 +0100Traders blame bail-in for Deutsche CDS jump Debt subordination behind spread widening from January; CVA desks may need to adjust hedge ratios http://www.risk.net/derivatives/credit-derivatives/2472658/traders-blame-bail-deutsche-cds-jump
http://www.risk.net/derivatives/credit-derivatives/2472658/traders-blame-bail-deutsche-cds-jumpFri, 30 Sep 2016 15:04:00 +0100Building credit: China's CDS market faces headwindsAs structural reforms push up defaults, China’s regulators are working to put in place a credit default swap market. However, without reforming the regulatory fragmentation that plagued previous attempts, market participants fear new efforts will also fail http://www.risk.net/derivatives/credit-derivatives/2466334/building-credit-chinas-cds-market-faces-headwinds
http://www.risk.net/derivatives/credit-derivatives/2466334/building-credit-chinas-cds-market-faces-headwindsMon, 01 Aug 2016 01:00:00 +0100Lack of sellers could hold back Chinese CDS marketDemand for credit protection increases, but traders say sellers will be hard to find http://www.risk.net/derivatives/credit-derivatives/2464881/lack-sellers-could-hold-back-chinese-cds-market
http://www.risk.net/derivatives/credit-derivatives/2464881/lack-sellers-could-hold-back-chinese-cds-marketFri, 15 Jul 2016 00:05:00 +0100Bank names obstruct single-name CDS clearingIce is “working through” wrong-way risk issues, may need to revamp auctions http://www.risk.net/derivatives/credit-derivatives/2451327/bank-names-obstruct-single-name-cds-clearing
http://www.risk.net/derivatives/credit-derivatives/2451327/bank-names-obstruct-single-name-cds-clearingThu, 17 Mar 2016 00:10:00 +0000Isda escapes CDS case pledge to help CFTCAssociation still faces licensing overhaul as part of pending settlement http://www.risk.net/derivatives/credit-derivatives/2433887/isda-escapes-cds-case-pledge-help-cftc
http://www.risk.net/derivatives/credit-derivatives/2433887/isda-escapes-cds-case-pledge-help-cftcMon, 09 Nov 2015 11:15:00 +0000A non-linear PDE for XVA by forward Monte CarloVladimir Piterbarg considers a non-linear partial differentiation equation that appears in a number of XVA-related contexts, including a one-way credit-support annex, credit value adjustment with risky closeout, option pricing with differential borrowing and lending rates, accounting-consistent valuation and constrained cash supply. In showing its solution is given as the minimum of solutions of certain related but linear PDEs, he develops an efficient forward simulation algorithm for any number of dimensions http://www.risk.net/derivatives/credit-derivatives/2428230/non-linear-pde-xva-forward-monte-carlo
http://www.risk.net/derivatives/credit-derivatives/2428230/non-linear-pde-xva-forward-monte-carloThu, 01 Oct 2015 11:52:00 +0100Markit unveils new CDX index rulesUp to 10 new names from under-represented sectors could be added to the high-yield CDX index on September 27 http://www.risk.net/derivatives/credit-derivatives/2422544/markit-unveils-new-cdx-index-rules
http://www.risk.net/derivatives/credit-derivatives/2422544/markit-unveils-new-cdx-index-rulesTue, 18 Aug 2015 23:28:00 +0100Provincial bond issuance could revive Chinese CDS marketChina's CDS market has been languishing in the shadow of state protection – will the rising provincial bond market change this? http://www.risk.net/derivatives/credit-derivatives/2415999/provincial-bond-issuance-could-revive-chinese-cds-market
http://www.risk.net/derivatives/credit-derivatives/2415999/provincial-bond-issuance-could-revive-chinese-cds-marketWed, 08 Jul 2015 01:00:00 +0100Bond-CDS basis trades have 'stopped working', hedge funds sayThe basis between some bonds and their accompanying credit default swaps are stuck at levels that would have provoked a feeding frenzy a few years ago, but hedge funds are sitting on the sidelines. Why? http://www.risk.net/derivatives/credit-derivatives/2414165/bond-cds-basis-trades-have-stopped-working-hedge-funds-say
http://www.risk.net/derivatives/credit-derivatives/2414165/bond-cds-basis-trades-have-stopped-working-hedge-funds-sayWed, 24 Jun 2015 06:00:00 +0100Full capital structures allow revival of synthetic CDOsThe tranching and distribution of risk on portfolios of credit default swaps is back, with issuance reaching $20 billion last year, but it bears the lessons of the crisis. Deals are simpler and more balanced, banks are retaining less risk and growth is expected to be modest http://www.risk.net/derivatives/credit-derivatives/2395378/full-capital-structures-allow-revival-synthetic-cdos
http://www.risk.net/derivatives/credit-derivatives/2395378/full-capital-structures-allow-revival-synthetic-cdosFri, 27 Mar 2015 10:29:00 +0000Credit derivatives – looking forward in a time of changeThe credit derivatives market has fundamentally changed over the last few years with new processes and regulations driving the markets forward. http://www.risk.net/derivatives/credit-derivatives/2396792/credit-derivatives-looking-forward-in-a-time-of-change
http://www.risk.net/derivatives/credit-derivatives/2396792/credit-derivatives-looking-forward-in-a-time-of-changeWed, 25 Feb 2015 14:30:00 +0000Hedge funds eye actively managed synthetic CDOsThe revival of the synthetic CDO market is encouraging some firms to pursue actively managed deals, but regulatory hurdles remain http://www.risk.net/derivatives/credit-derivatives/2394251/hedge-funds-eye-actively-managed-synthetic-cdos
http://www.risk.net/derivatives/credit-derivatives/2394251/hedge-funds-eye-actively-managed-synthetic-cdosThu, 19 Feb 2015 13:38:00 +0000Lifetime achievement award: Andrew FeldsteinDerivatives pioneer and founder of BlueMountain has played a big role in two decades of credit market change; now he occupies one of the seats of power in the market's new order http://www.risk.net/derivatives/credit-derivatives/2388294/lifetime-achievement-award-andrew-feldstein
http://www.risk.net/derivatives/credit-derivatives/2388294/lifetime-achievement-award-andrew-feldsteinTue, 13 Jan 2015 00:05:00 +0000Sef of the year: MarketAxessPlatform is committed to all-to-all trading - offering anonymous quote requests, for example - and users are getting better prices as a result http://www.risk.net/derivatives/credit-derivatives/2387476/sef-year-marketaxess
http://www.risk.net/derivatives/credit-derivatives/2387476/sef-year-marketaxessMon, 12 Jan 2015 16:43:00 +0000Credit derivatives house of the year: CitiCiti has become a provider of risk-recycling services to the Street’s bad banks, while leading the market in the creation of new – and more robust – structured credit assets http://www.risk.net/derivatives/credit-derivatives/2387696/credit-derivatives-house-year-citi
http://www.risk.net/derivatives/credit-derivatives/2387696/credit-derivatives-house-year-citiMon, 12 Jan 2015 15:36:00 +0000Citi buys $250bn Deutsche Bank single-name CDS portfolioLeverage exposure drives big portfolio sale, with Citi aiming to collapse notionals by the end of the first quarter http://www.risk.net/derivatives/credit-derivatives/2388970/citi-buys-250bn-deutsche-bank-single-name-cds-portfolio
http://www.risk.net/derivatives/credit-derivatives/2388970/citi-buys-250bn-deutsche-bank-single-name-cds-portfolioWed, 07 Jan 2015 00:05:00 +0000EU banks' exposure to Greece below €5bnDespite widespread fear over a Greek exit from the eurozone, European banks' exposures are limited to tiny bond holdings and €5 billion of outstanding loans, according to a JP Morgan report http://www.risk.net/derivatives/credit-derivatives/2388795/eu-banks-exposure-greece-below-eu5bn
http://www.risk.net/derivatives/credit-derivatives/2388795/eu-banks-exposure-greece-below-eu5bnTue, 06 Jan 2015 11:11:00 +0000Bafin blocked Deutsche Bank correlation exit, funds claimDeutsche confirms it tried to sell book last year; three funds say trade was shut down by German regulator http://www.risk.net/derivatives/credit-derivatives/2384917/bafin-blocked-deutsche-bank-correlation-exit-funds-claim
http://www.risk.net/derivatives/credit-derivatives/2384917/bafin-blocked-deutsche-bank-correlation-exit-funds-claimThu, 04 Dec 2014 03:00:00 +0000Markit venture is first casualty of US swap flopClosure of Credit Centre leaves Traiana CreditLink as only remaining swap-clearing credit-check hub http://www.risk.net/derivatives/credit-derivatives/2377747/markit-venture-first-casualty-us-swap-flop
http://www.risk.net/derivatives/credit-derivatives/2377747/markit-venture-first-casualty-us-swap-flopMon, 27 Oct 2014 11:14:59 +0000Goldman Sachs bought $24 billion CDS portfolio from UBSUBS in Australia sold off its CDS portfolio in fixed income scale-back, source reveals; deal was part of efforts to meet impending capital requirements http://www.risk.net/derivatives/2370727/goldman-sachs-bought-24-billion-cds-portfolio-ubs
http://www.risk.net/derivatives/2370727/goldman-sachs-bought-24-billion-cds-portfolio-ubsThu, 18 Sep 2014 03:21:00 +0100CDS de-correlation a threat to CVA hedging, traders warnThe decline in single-name trading could cause credit default swap indexes to decouple from their constituents http://www.risk.net/derivatives/credit-derivatives/2361978/cds-de-correlation-threat-cva-hedging-traders-warn
http://www.risk.net/derivatives/credit-derivatives/2361978/cds-de-correlation-threat-cva-hedging-traders-warnWed, 03 Sep 2014 11:12:00 +0100How to hedge CVA without being hurtBanks can reduce their CVA capital burden by using regulator-approved hedges, but only at the risk of painful accounting losses. The solution is a new hedging instrument that works under both regimes. By Dirk Schubert http://www.risk.net/risk-management/credit-risk/2360792/how-hedge-cva-without-being-hurt
http://www.risk.net/risk-management/credit-risk/2360792/how-hedge-cva-without-being-hurtThu, 28 Aug 2014 16:03:00 +0100Cutting Edge intro: maths versus machineMany banks have turned to fancy chips to boost computing speed, but there is a mathematical technique that claims better results at a lower cost. Its proponents see it as a way out of the IT rat race, and are finding new ways to deploy it. Nazneen Sherif introduces this month’s technical articles http://www.risk.net/derivatives/credit-derivatives/2356380/cutting-edge-intro-maths-versus-machine
http://www.risk.net/derivatives/credit-derivatives/2356380/cutting-edge-intro-maths-versus-machineWed, 30 Jul 2014 12:28:00 +0100Scotland secession: would UK CDSs be affected?If Scotland votes for independence in September, it will be a big moment for credit markets – and, thanks to a quirk in the wording of legacy CDS contracts, a potential succession event for holders of protection on UK government debt. Is it worth investors buying UK CDSs as a hedge against the uncertainty? Tom Osborn reports http://www.risk.net/derivatives/credit-derivatives/2357003/scotland-secession-would-uk-cdss-be-affected
http://www.risk.net/derivatives/credit-derivatives/2357003/scotland-secession-would-uk-cdss-be-affectedFri, 25 Jul 2014 10:44:00 +0100