Credit default swaps (cdss)
A 'yes' vote in the referendum could result in outstanding UK CDSs being split in two, but analysts are not holding their breath
Holders of CDSs on Argentine debt claim contracts due to expire before the country's June 30 coupon payment should still be valid if the country later defaults.
More Credit default swaps (cdss) articles
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 the calibration of a stochastic intensity credit...
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 spreads in a hybrid credit risk model" by Mathieu Boudreault, Geneviève Gauthier and Tommy...
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical...
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...
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.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Singapore, 22nd - 23rd Jul 2014
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014