Credit derivatives
CDSs, CVA and DVA – a structural approach
Counterparty risk is difficult to include systematically in credit default swap pricing. Reviving Merton’s structural approach – and generalising to higher dimensions – makes it tractable. By Alex...
CDS users face collateral hike because SEC rule means clearing members are not yet able to offer CDS cross-margining to their clients – but there are hopes of a last-minute exemption
Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
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Credit derivatives house of the year: Credit Suisse
Any hedge fund would be delighted with a near-50% return on equity. For the credit business of a Swiss bank, it’s not just an excellent result – in pure revenue terms, the best of Credit Suisse’s six fixed-income subdivisions last year – but also...
Credit Derivatives House of the Year – Standard Chartered
Asia Risk Awards 2012 winner: Standard Chartered – Credit Derivatives House of the Year
Recursive formulas for the default probability distribution with applications...
The probability distribution of the number of defaults plays an important role in pricing problems of multiple-name credit derivatives. When the group size gets large, it becomes increasingly difficult to obtain its whole distribution. We use a financial...
Risk South Africa rankings 2012 - PLEASE VOTE
Have your say in this year's Risk rankings of South African derivatives dealers and brokers
Isda AGM: Euro crisis drives up collateral, finds survey
Trouble in the eurozone is increasing collateral in over-the-counter derivatives market, according to Isda
Sovereign CDS market needs to learn lessons from Greece, dealers say
An auction to settle the Greek sovereign CDS goes smoothly, but some participants argue the documentation needs to be revisited
Greek auction result could undermine CDS use
An early trigger is unlikely, but fears of distorted auction outcome remain – and could undermine the use of credit default swaps as a hedge, say market participants
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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How financial services need to consider their IT infrastructure
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