Credit default swap (cds)
To meet new Basel III capital requirements, banks have to proxy unobserved credit default swap (CDS) time series for their over-the-counter derivative counterparties to determine the credit valuation adjustment...
Regulators and accountants don't agree on CVA but banks say smart hedges exist
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Credit default swap (cds) articles
In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Welcome to the fourth issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers that cover a diverse set of topics: behavioral finance, portfolio opt...
UBS in Australia sold off CDS portfolio in fixed income scale-back
Fears relationship between credit indexes and constituents becoming more tenuous
New sanctions on specific companies could trigger CDSs and complicate settlement
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 whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.