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
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
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.