Cracking correlation

Single-name credit default swaps have a subtle form of default risk correlation. How are brokers, dealers and end-users handling it?

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Market participants are coming to realise that they should pay more attention to default correlation risk embedded in all single-name credit default swaps (CDSs). Mark Ritter, Stamford, Connecticut-based global head of credit exposure management at UBS Warburg, says: “It’s not that the problem was completely ignored, but rather that it has become more of a point of focus over the past year or so.”

So while issues related to contract specification, such as restructuring and successor-related

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

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