Credit default swaps (cdss)
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present three research papers and one technical report. Our first research paper is "Recovery rate risk and credit...
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 swaps (cdss) articles
Harnessing credit and debit valuation adjustments to credit default swaps may have seemed a good idea a few years ago, but as that market shrinks, it is eroding their foundations. Laurie Carver reports
Debit valuation adjustments are becoming well understood for derivatives and liabilities – but can affect the asset side of the balance sheet too. Specifically, assets such as so-called goodwill depend on the creditworthiness of the firm. Chris Kenyon...
There is an old joke about two hikers who disturb a bear. One pulls on his running shoes in response, prompting his weirdly rational companion to point out that outrunning the bear will be impossible. “I don’t need to outrun the bear,” the first...
In this issue of The Journal of Credit Risk we present three research papers and one technical report. The issue's first research paper is "Bounds for rating override rates" by Dirk Tasche. This paper examines an important question posed by banks and...
BNP Paribas Total return swaps on the iBoxx corporate bond indexes were started last year by a working group of banks in which BNP Paribas took a leading role, alongside Markit. The French bank worked with JP Morgan and Morgan Stanley in the early development...
Liquidity drained from the sovereign CDS market before the ban took hold this morning – and market-makers are still unsure what they can and cannot do
SEC study finds large portion of clearing-eligible CDS still trading bilaterally
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
UK, 18th Dec 2013
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