Credit default swap (cds)
Buy-side firms angry about continuing margin disparity and uncertainty
A staff report from the New York Federal Reserve argues the evidence points to hedge funds rather than dealers precipitating the post-Lehman liquidity crisis, with implications for rules on prop trading...
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
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 Credit default swap (cds) articles
Attempts to "defend" CDS positions broke the law, CFTC rules
The credit valuation adjustment charge in Basel III allows capital relief for credit default swap (CDS) hedges. But once a product has a new use, it creates new demand – and prices must change. That has unsettling implications for the CDS market. Laurie...
New research sheds light on implications of product's role as regulatory capital hedge
Launched with a fanfare earlier this year, trading in Ice’s new credit index future has since stalled. Critics say it is dead, but its backers argue it is too soon to write the contract off. Peter Madigan reports
In this paper we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton. The model is a bottom-up version of the multifactor portfolio credit model proposed by Longstaff...
An international initiative to increase the use of central clearing for over-the counter (OTC) derivatives emerged as one of the reactions to the 2008 financial crisis. The move to central clearing is a fundamental change in the structure of the market....
Ron Berndsen De Nederlandsche Bank and Tilburg University Responsibility D of the CPSS-IOSCO Principles for financial market infrastructures reads "Central banks, market regulators, and other authorities should adopt the CPSS-IOSCO principles for financial...
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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