Credit derivatives house of the year: Credit Suisse
Asia Risk awards 2013 winner: BNP Paribas – Credit Derivatives House of the Year
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...
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
Risk awards 2012
Basel Committee focuses on cost of protection in attempt to stamp out capital arbitrage, but dealers worry that sound trades will also suffer
Banks have picked the DTCC to build a series of new derivatives repositories, but overlooked rivals CME and Ice vow to fight on
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.