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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,...
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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...
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