Huge losses from the 2008 crisis can be seen as a short option position
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
Alexander Lipton on how the role of quants is adapting to the new financial environment
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Institutional and regulatory barriers blamed for poor take-up of derivatives by life companies
Credit player launches Ucits European vehicle and eyes '40 Act funds
Growth of renminbi assets ends Taiwan insurers' love affair with structured credit
Firm leverages credit market expertise to ride crest of CLO revival
Standard & Poor's found to owe duty of care with CDO ratings
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointed towards flawed assumptions in pricing models and credit...
Performance and asset flows of securitised credit products have combined to make this group one of the most profitable for investors and hedge fund managers. But there are now signs of waning interest
Americas Awards 2013
Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong appetite for the paper
An extraordinary Australian court judgement shines a light on the errors and deceit that led to the granting of an AAA rating to ABN Amro’s Surf constant proportion debt obligation in 2006. Lukas Becker reports