Collateralised loan obligation (CLO)

CLO market appeals to yield-hungry investors

Post-financial crisis structured credit has been in hiding: but 2013 has seen the re-emergence of the collateralised loan obligation (CLO) market, with yield-hungry Asian players demonstrating a strong appetite for the paper

A bottom-up model with top-down dynamics

Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…

Happier times for distressed assets?

The distressed assets sitting on the balance sheets of financial institutions have increased in value in recent months, with a variety of firms reporting paper gains. Has the turning point been reached in distressed structured credit assets? Peter…