Credit default swaps (CDSs)
Association still faces licensing overhaul as part of pending settlement
Asset managers want to see futurisation of swaps get off the ground in Europe
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of ...
More Credit default swaps (CDSs) articles
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Language neutering swaps push-out was the work of political staff and banks
Isda AGM: no new products added to Sef mandate list in 13 months
State-owned and private banks already above 4% standard regulators are introducing
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ABSTRACT The purpose of this paper is to build a contingent convertible bond (CoCo) model with a minimal number of stochastic factors that includes all relevant sources of risk. The value of a CoCo stems...
Indexes may be less effective hedges in absence of arbitrageurs
No ambiguity in 2014 contracts, but questions exist over 2003 vintage
Kicillof comments mean contracts can be extended, law firm argues
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...
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.