This paper quantifies and explains the valuation differences between credit default swaps (CDSs) and corporate bonds from a sample of European investment-grade firms. Based on all information gained through...
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three research papers. Our first paper is "Valuation differences between credit default swap and corporate...
For several years leading up to the outbreak of the financial crisis, growth in the use of arbitrage collateralized debt obligations (CDOs) was explosive. In this paper, we discuss potential sources of...
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 Corporate bonds articles
Farid AitSahlia Warrington College of Business Administration, University of Florida The global financial crisis of 2007-8 illustrated the shortcomings of several modeling approaches in a dramatic fashion. Chief among these shortcomings are the bond-like...
Policy-makers are terrified of hurting the banking industry's lending capacity, but are happy to constrain market-making - even though it could have a similar economic impact
Some buy-side firms are already calling it the great unwind – the migration out of the huge bond portfolios buy-side firms have built up in recent years, as rates eventually rise. But with dealers less able to play the role of liquidity provider, it...
Esma and EBA publish Euribor recommendations; Tel Aviv Stock Exchange launches lower-rated bond index; S%P Down Jones Indices launches real estate proxy
Hong Kong regulator to consult banks on new LCR this quarter and assess level playing field implications before deciding on whether to adopt a phased approach
A lack of liquidity is still providing problems for corporates looking to hedge – even in Hong Kong
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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