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,...
Arthur M. Berd General Quantitative LLC 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...
Ashish Dev JPMorgan Chase, New York 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...
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 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.
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
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