Credit Suisse has remained focused on the structured credit market while others have retreated – and racked up a record-breaking performance in 2013 as a result
Asia Risk awards 2013 winner: BNP Paribas – Credit Derivatives House of the Year
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit derivatives articles
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 multifactor portfolio credit model proposed by Longstaff...
Positions in credit default swaps (CDSs) are eligible instruments to reduce some Basel III capital requirements. The value of this benefit should be reflected in the price. Chris Kenyon and Andrew Green incorporate this into a pricing model for CDSs,...
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 Lipton and Ioana Savescu
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 six fixed-income subdivisions last year – but also...
Asia Risk Awards 2012 winner: Standard Chartered – Credit Derivatives House of the Year
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future