Speakers voice synthetic credit and capital structure arbitrage fears

“In the past, some investors in CDOs [collateralised debt obligations] really didn’t understand the product,” Mahdevan said. He urged investors not to be fooled by the ratings of single-tranche products. “Ratings refer to default risk, but they don’t tell you anything about leverage or volatility,” he added.

Mahdevan said a market for options on credit derivatives is several years away from truly hitting its stride.

Sean Keenan, a vice-president in Citgroup’s risk architecture group, said it

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: