Making good on bad assets
US SEC claims Wells Fargo Securities, formerly Wachovia Capital Markets, violated securities laws when selling CDOs tied to the ailing housing market
CDO ratings arbitrage ‘reasonable and justifiable’, finds UK court
Regulator says investigations into certain market groups do not represent a CDO insider-trading initiative
Investec is to become the third issuer of collateralised notes as it indicates a January launch.
Risk awards 2011
By: Jean-David Fermanian, CREST–ENSAE
Former US Senate special counsel predicts trouble for institutions struggling to foreclose mortgages
Goldman pays $550 million to settle charges of misleading customers on Abacus CDO
Moody's report says large increase in Japan SME defaults unlikely as economy recovers
In 2008 and 2009, the calibration of the standard Gaussian copula model for collateralised debt obligations has frequently broken down. To overcome that problem, Martin Krekel has embedded the model with correlated stochastic recovery rates. He shows...
In the third article in a four-part series, David Rowe considers the need for financial risk management to move beyond distributional analysis to consider more qualitative inputs
The US Securities and Exchange Commission filed a lawsuit against Goldman Sachs in April, alleging it had misled clients by not disclosing that a major hedge fund had helped select the underlying assets in a collateralised debt obligation and was planning...
Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be...
The US Securities and Exchange Commission’s lawsuit against Goldman Sachs for allegedly misleading clients has provoked widespread vilification of the bank. But is it reasonable to expect ethical conduct by investment banks to extend beyond legal compliance?
Despite growing risk aversion in the credit markets, behind the scenes dealers are working on new issues of collateralised debt obligations.
The US Securities and Exchange Commission filed a lawsuit against Goldman Sachs in April, alleging the firm misled clients. Some observers suggest the action may not be successful, but criticise Goldman’s behaviour. By Mark Pengelly and Duncan Wood
Goldman Sachs has been sharply criticised for arranging a synthetic collateralised debt obligation (CDO) at the centre of a lawsuit filed by the US Securities and Exchange Commission (SEC) last week.
The distressed assets sitting on the balance sheets of financial institutions have increased in value in recent months, with a variety of firms reporting paper gains. Has the turning point been reached in distressed structured credit assets? Peter Madigan...
The Gaussian copula collapsed as a means of pricing collateralised debt obligations in the crisis of 2008, as to match prices and deltas nonsensical correlation parameters were required. By adapting the traditional framework to cater for more general...