Credit derivatives: the past, the present and the future
The determinants of credit spread returns
What’s driving the default swap basis?
What is the value of modified restructuring?
The debt and equity linkage and the valuation of credit derivatives
Nth to default swaps and notes: all about default correlation
Portfolio credit risk models
Credit derivatives as an efficient way of transitioning to optimal portfolios
Overview of the CDO market
Synthetic securitisation and structured portfolio credit derivatives
Integrating credit derivatives and securitisation technology: the collateralised synthetic obligation
Considerations for dynamic and static, cash and synthetic collateralised debt obligations
CDOs of CDOs: art eating itself?
Valuation and risk analysis of synthetic collateralised debt obligations: a copula function approach
Extreme events and multi-name credit derivatives
Reduced-form models: curve construction and the pricing of credit swaps, options and hybrids
Modelling and hedging of default risk
ISDA’s role in the credit derivatives marketplace
Credit linked notes
Using guarantees and credit derivatives to reduce credit risk capital requirements under the New Basel Capital Accord
Collateralised debt obligations (CDOs) represent one of the fastestgrowing segments of the structured finance world and are sometimes lumped together with asset backed securities (ABSs). However, there are several fundamental differences between CDOs and ABSs. CDOs allow for the pooling and retranching of credit risk with pools that are almost always much lumpier than their ABS cousins and with structures that can be tailored to a particular asset class, pool or manager. The flexibility of the CDO product has important repercussions in terms of understanding the product and in determining which analytical methods are best used to evaluate them. Accordingly, analytical approaches must move away from an actuarial method to one that recognises the heterogeneous nature of the pools.
Any evaluation of CDOs must also take into account that CDOs represent the far end of the continuum that begins with single-name default trades, continues with baskets of possible defaults and finally goes to the extreme of those rare CDOs that have thousands of underlying credits. Finally, CDOs, unlike ABS transactions, usually have an asset manager actively buying and selling assets in the