Open for business
In December, Deutsche Bank, ABN Amro and Citigroup, working with credit default swap (CDS) index provider iBoxx, announced the development of a credit futures contract linked to a basket of CDSs. It’s another example of the credit derivatives market becoming more transparent, which of course can only be good for the industry. CDS index providers – the other big player is Trac-x, which is backed by JP Morgan Chase and Morgan Stanley – are leading the way in facilitating the mark-to-market risks for collateralised debt obligation (CDO) tranches. Risk looks at this and other CDO developments on page S4.
West LB’s Benedict Roth looks at the pricing of collateralised lending risk on page S12. Most bank lending is collateralised in some way, but the quantification of their risk profiles is not as commonplace as one might think. Roth argues that popular credit risk models
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Credit markets
Single-name CDS trading bounces back
Volumes are up as Covid-driven support fuels opportunity for traders and investors
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
CME to pass on Ice CDS administration charges
Clearing house to hike CDS index trade fees from July after Ice’s determinations committee takeover
Buy side fuels boom in single-name CDS clearing
Ice single-name CDS volumes double year on year following switch to semi-annual rolls
Ice to clear single-name bank CDSs from April 10
US participants will be able to start clearing CDSs referencing Ice clearing members
iHeart CDS saga sparks debate over credit rules
Trigger decision highlights product's weaknesses, warns Milbank’s Williams
TLAC-driven CDS index change tipped for September
UK and Swiss bank Holdco CDSs likely inclusions in next iTraxx index roll, say strategists
Fears that bumper coupon could skew iHeart CDS payouts
Market pushes for change to auction date amid fears of reduced single-name and index CDS payouts
Most read
- Top 10 operational risks for 2024
- Top 10 op risks: third parties stoke cyber risk
- Japanese megabanks shun internal models as FRTB bites