Credit markets

Self-referencing CDS risk?

Ballooning credit default swap spreads on European sovereigns have encouraged some market participants to sell credit protection on their own country. But how much is this protection really worth, and could this selling contribute to systemic risk? Mark…

Spotlight on Goldman

The US Securities and Exchange Commission filed a lawsuit against Goldman Sachs in April, alleging it had misled clients by not disclosing that a major hedge fund had helped select the underlying assets in a collateralised debt obligation and was…

A bottom-up model with top-down dynamics

Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…

Tipping point?

The global financial crisis has demonstrated the Australian credit default swap market is more liquid than its counterparts in the rest of Asia. Nonetheless, Australian investors have failed to take advantage of large arbitrage opportunities and the…

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