The untenable robustness of hedging

Risk staff
01 Aug 2007

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Extreme spread-widening and volatility have become par for the course in credit markets in recent weeks. Woes that began in US subprime mortgages in late February have spread across the asset-backed securities (ABSs) market, leveraged loans and even into the single-name and index corporate credit derivatives markets.

The ABX.HE, a family of synthetic indexes referencing home equity ABSs, has been in freefall in recent months. The ABX.HE.06-2 BBB- index (which comprises credit default swaps

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