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Risk Awards 2015: Credit fund profited from October meltdown
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
More Credit derivatives articles
UBS in Australia sold off CDS portfolio in fixed income scale-back
Credit derivatives house of the year: Credit Suisse
Asia Risk awards 2013 winner: BNP Paribas – Credit Derivatives House of the Year
In this paper we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton. The model is a bottom-up version of the...
Only registrants to date are MBIA and Cournot Financial Products – firms that have not traded derivatives since 2008
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...
Asia Risk Awards 2012 winner: Standard Chartered – Credit Derivatives House of the Year
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...
Trouble in the eurozone is increasing collateral in over-the-counter derivatives market, according to Isda
An auction to settle the Greek sovereign CDS goes smoothly, but some participants argue the documentation needs to be revisited
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.