CDS trades between non-US counterparties will be captured under Dodd-Frank
Single-name CDSs still have buy-side fans and many have come to see Citi as the go-to dealer
As defaults rise, firms step up sophistication of counterparty assessments
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 credit default swap premiums.
Accounting exposures win out as banks seek to align capital with front-office practice
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
HSBC quant develops an FVA model that preserves the law of one price
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
Sponsored video: MarketAxess
Roller-coaster year brings turmoil and opportunities
Indexes may be less effective hedges in absence of arbitrageurs
Analysts split on crucial questions for CDS protection holders
No ambiguity in 2014 contracts, but questions exist over 2003 vintage
Kicillof comments mean contracts can be extended, law firm argues
In this issue of The Journal of Credit Risk we present three research papers. Our first paper is "Valuation differences between credit default swap and corporate bond markets" by Oliver Entrop, Richard Schiemert and Marco Wilkens...