Collateralised debt obligation (cdo)
WASHINGTON, DC – Goldman Sachs is facing civil fraud charges from the US Securities and Exchange Commission (SEC) for allegedly making misleading statements and omissions relating to a synthetic collateralised...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Collateralised debt obligation (cdo) articles
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...
Securities and investment banking group Jefferies has hired Sharif Anbar-Colas as head of collateralised loan obligation and collateralised debt obligation trading, based in London. Anbar-Colas joins from Cohen & Company, where he was head of European...
Demand for legacy structured credit deals has surged in the past six months, with better quality assets offering relative value opportunities. The question now is whether this will spur a revival in primary market activity. Rewind 18 months and the...
Investors that snapped up cash bonds and other simple credit assets at the start of last year have made large profits as the credit market rallied strongly in 2009. While many of the obvious credit opportunities have disappeared, some market participants...
The static assumptions of the Gaussian copula model have long presented an obstacle to dynamic hedging of credit portfolio tranches. Here, Jean-David Fermanian and Olivier Vigneron combine the copula with a spread diffusion to derive hedging error as...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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