"All market participants can benefit from greater CDS standardisation and transparency," says Anil Bangia, executive director in JP Morgan's quantitative research group. "Our effort with Isda is another step in that direction, which will allow market participants to get exact agreement on their valuations, and will facilitate industry-wide initiatives such as electronic trading and central CDS clearing."
JP Morgan began to develop the model just under a decade ago, aiming to promote liquidity in the CDS market through increased pricing transparency for unwinding trades. It has since become widely used in the industry.
The week on Risk.net,October 14-20, 2016Receive this by email