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,...
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.
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