The ongoing slump in traded volumes of single-name credit default swaps (CDSs) is a "nasty side effect" of international regulatory reforms, a senior banker has claimed, raising fears that credit valuation adjustment (CVA) hedging will become increasingly difficult should the long-standing correlation between single-name and index CDS products break down.
"There is a lot less credit protection around than everybody would like. The US liquid single-name CDS population is relatively small and it’
The week on Risk.net, October 6-12, 2017Receive this by email
- SGX, HKEX expect to be among first wave of Mifid II equivalence
- Leaked EU doc could shield legacy swaps from clearing grab
- ABS set for revival under US Treasury’s liquidity buffer plans
- Quantile, TriOptima face off in cleared swaps compression battle
- Quants stymied by lack of alternative risk premia flows data