In this paper we examine the effectiveness of intraday hedging models for credit default swap index trading by means of more liquidly traded exchange-based futures contracts.
Welcome to the fourth issue of the third volume of The Journal of Investment Strategies. In this issue you will find four papers that cover a diverse set of topics: behavioral finance, portfolio opt...
Second-quarter start date slated by the Japan-based clearing house
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Itraxx articles
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...
Dealers worry about the impact on liquidity unless single-name and index trades can be margined together
Where is the liquidity?
Jack of all trades
The cost of swaps protecting against a state default of eurozone peripheral states continued to decline today.
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.