Collateralised debt obligation (cdo)
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...
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
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...
The SEC has lifted the lid on the conflicts of interest in the rating of subprime mortgage-backed securities
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...
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...
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...
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...
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...
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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