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We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies,...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Credit spreads articles
The objective of this paper is to help a bank originator of a collateralized debt obligation (CDO) to build a maximally profitable CDO. We consider an optimization framework for structuring CDOs. The objective...
Ahead of the curve
Trading talk: October 2010
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
High yield spreads are more highly correlated to the VIX index than to default rates.
Despite spreads widening last month to more attractive levels, investors remain cautious on expectations of a prolonged period of volatility for the credit markets.
Corporate bond spreads may soon move inside government bonds amid growing fears over sovereign default risk, according to panellists at the inaugural Credit Institute meeting, held in London on March 23....
Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the c...
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.