Over $600 billion in index CDS volume switches to new venue where dealers guarantee liquidity to each other
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus...
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.
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Dealers worry about the impact on liquidity unless single-name and index trades can be margined together
Lance Uggla, chief executive of Markit, pauses a moment and opens a door: “You should see this,” he says. It’s impossible to know what lies behind that door, but the financial information services company Uggla founded with four former colleagues...
Basel III allows contingent credit default swaps (CCDSs) to be used as a mitigant when calculating credit value adjustment. Advocates of CCDSs hope that will give the market some momentum – but others say the product will continue to suffer from a shortage...
Anxiety about Chinese growth and the latest bout of eurozone debt panic appear to have triggered a surge in spreads on Australia’s credit index. But are credit spreads on Australian companies an effective general-purpose hedge against non-domestic economic...
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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