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.
Second-quarter start date slated by the Japan-based clearing house
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.