Collateralised debt obligation (cdo)
The world is about to change for derivatives dealers. A new package of liquidity, leverage and capital measures was finalised by the Basel Committee on Banking Supervision last month, while the European...
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
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More Collateralised debt obligation (cdo) articles
Collateralised debt obligations based on the debt of Japanese small and medium-sized enterprises (SME) are expected to be stable in the near term, Moody's Investors Service says
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...
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?...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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