Credit markets
CDS: Spreads rally tracking stocks; Citi leads the charge
Credit default swap 5-year mid-levels for structured products issuers (September 3)
Dealers in $128m ARS repurchase as legal actions continue
Three securities firms are to repurchase $128 million in auction-rate securities (ARS) from aggrieved holders of the illiquid instrument and will pay $600,000 in fines in the latest in a spate of regulatory actions in response to the mis-selling of the…
Last option before the armageddon
Damiano Brigo and Massimo Morini show how the pricing of credit index options depends on the probability of a financial portfolio 'armageddon'. They introduce a new equivalent pricing measure that lays the foundation for a market model framework in multi…
CDS: Spreads widen on G20 financial reform concerns
Credit default swap 5-year mid-levels for structured products issuers (September 2)
Credit spread shocks: how big and how often?
The second half of 2007 saw violent moves in credit spreads. In the fallout, there has been much discussion about how to estimate the probabilities of these severe events, but few conclusions have been obtained beyond the fact that historical data is…
CDS: Spreads widen tracking stocks
Credit default swap 5-year mid-levels for structured products issuers (September 1)