German Derivatives Association argues ban is unlawful
A correlated structural credit risk model with random coefficients and its Bayesian estimation using stock and credit market information
Using historical equity and credit market data, this paper illustrates the validation of a structural correlated default model applied to Black–Cox setups.
Buy side turning to ETFs and CDSs to meet exposure targets, switching them for bonds later on
Regulatory fragmentation threatens take-up of planned new credit instruments
Demand for credit protection increases, but traders say sellers will be hard to find
Cross-gamma losses estimated at more than $25m for each dealer
Row over access to books and records threatens to undermine registration rules
Regulatory capital savings offered by instant settlement of smart contracts on distributed ledgers
Megan van Ooyen from SAS rounds up the top five operational risk losses for April 2016
Banks say prices already diverging; CDS market could be impacted
Information asymmetry and illiquidity driving up prices
Ice is “working through” wrong-way risk issues, may need to revamp auctions
Bank’s new methodology has been used by some rivals for more than a decade
Industry sources that have met with the agency claim it has “no plan” for mandate
Move could force unwinds, but an IFRS exemption may prove a saviour
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.