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
European collateralised debt obligations (CDOs) have evolved from early, static, balance-sheet cash transactions to utilise synthetic execution, synthetic assets and various dynamic forms of credit portfolio management. As the market continues to evolve, diversification takes on new dimensions, potential volatility and complexity of excess cash flow may increase, currency risk is more dynamic, liquidity needs often become more significant, losses may crystallise due to trading behaviour rather than simply credit risk, obligation settlement and valuation requires careful definition, and management flexibility and/or investor input often increases. Although the market often refers to CDOs as existing in one form versus another – static or managed, cash or synthetic – clear distinctions in nomenclature have diminished in practice, and the increasing degree of variety within the market necessitates new questions from CDO investors.
CDO MARKET ROADMAP
CDOs have established themselves in the market as a distinct sector, and one can argue that the sector has matured, given that it went through severe