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,...
Welcome to the first issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers, covering investment performance analysis, alternative investment strategy...
In this issue of The Journal of Credit Risk we present three research papers and one technical report. Our first research paper is "Recovery rate risk and credit spreads in a hybrid credit risk model"...
In this paper (in English and German), Genscape has analysed Combined Heat and Power or Central Heat and Power (CHP)production in the German market, the challenges it raises for market participants, and the key steps required to address the fundamental lack of transparency in CHP plant production.
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 is to select attachment/detachment points...
Judging whether high yield debt is fairly valued can be done using median spread curves.
Despite a significant amount of new bond issuance, a strong bid for credit in the US caused secondary spreads to tighten last month.
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.
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.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014