Credit default swap (cds)
A new product could smoothe the gap between capital and accounting rules
New sanctions on specific companies could trigger CDSs and complicate settlement
This webinar on September 17th looks at the challenges of GRC, key trends, motives for improvement, future investments, and obstacles that banks and other financial institutions face in trying to improve and integrate their risk management strategy
More Credit default swap (cds) articles
Sponsored interview: Commerzbank
Finra says year-long approval process revealed "notable outliers"
Second-quarter start date slated by the Japan-based clearing house
Credit derivatives house of the year: Credit Suisse
This paper examines the credit default swap (CDS) market's reaction to operational risk events in the banking industry, and thus addresses the question of the extent to which operational risk affects the...
We extend the work of Hull and White and Kettunen and Meissner and build a credit default swap (CDS) pricing model that includes default intensities and default correlation of all three involved entities,...
Volume 8, Issue 4, 2013
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 tra...
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Attempts to "defend" CDS positions broke the law, CFTC rules
Pricing the CVA doom loop
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...
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.