Collateralised debt obligation (cdo)
Athilon Capital put on rating review
Moody's Investors Service placed the AAA counterparty rating of credit derivatives product company (CDPC) Athilon Capital on watch for downgrade on July 9. CDPCs write protection on senior credit default...
The US Securities and Exchange Commission (SEC) published a report in July detailing the results of its investigation into the three main credit rating agencies' practices in rating products that reference...
The meltdown in subprime collateralised debt obligations will affect financial markets for years. One likely result will be a renewed market willingness to reward sound credit underwriting - and therein...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Collateralised debt obligation (cdo) articles
A free lunch and the credit crunch
Monoline insurers act as triple-A guarantors of the senior risks in structured finance. A purchaser of credit insurance or protection from a monoline may argue that they take only a small amount of the counterparty risk that is a common side-effect of...
Rating agencies conflicts of interests revealed in SEC report
The SEC has lifted the lid on the conflicts of interest in the rating of subprime mortgage-backed securities
Risk reallocation
The originate-and-distribute model offered a means for banks to offload credit risk from their balance sheets and distribute it to investors. But Andrew Haldane and Lewis Webber of the Bank of England argue this risk was often passed on to those least...
Credit too hot to handle
Some distributors in Asia are offering first-to-default retail credit notes that give sovereign exposure, signalling a revival of interest in credit. But heavy mark-to-market losses and the use of CDOs as underlying collateral in previous issues have...
Explaining the Levy base correlation smile
Joao Garcia and Serge Goossens look at base expected loss at maturity both in the Gaussian copula and Levy-based models, and link it to base correlation in these frameworks. They report on the existence of smile in both base correlation curves and discuss...
A trick of the credit tail
Leveraged super-senior (LSS) trades represent a mechanism for packaging senior credit risk. Many LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article, Jon Gregory discusses the valuation of LSS...
Confidence building
The credit crisis continues to throw up big surprises. Just when it looks as if things are beginning to calm down, there's yet another bombshell - whether it be larger than expected writedowns at investment banks, the near-collapse of the monoline sector...
Using market and credit risk analytics to strengthen performance
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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