Credit markets
Insurers warm to synthetic debt
Taiwan CDOs
CMCDS valuation with market models
There is little, if any, literature available on constant-maturity credit default swap (CDS) valuation. Here, Damiano Brigo builds on his no-arbitrage dynamic CDS market model to derive a formula involving a 'convexity adjustment' feature correction,…
Taking the slow road
CDOs
A tale of two structures
Securitisation
Cash for old smoke
Carbon emissions
Correlation confusion
Retail Portfolio Risk
Intensity gamma
Mark Joshi and Alan Stacey develop a new model for correlation of credit defaults based on a financially intuitive concept of business time similar to that in the variance gamma model for stock price evolution
Risk at the margin
Portfolio Margining
Laying the foundations
Credit Portfolio Management
Convergence on credit
Spurred on by Solvency II, insurance companies are refining their approach to managing credit risk. As a result, some insurers' credit risk management methods are beginning to converge with those favoured by banks. By Rachel Wolcott
Barclays Capital launches managed CCO
UK investment bank Barclays Capital has launched a managed version of its Collateralised Commodity Obligation (CCO). Everest I will be released to institutional investors globally in partnership with CDO manager TCW Asset Management.
Calyon and Forsyth Barr launch first retail credit CPPI in New Zealand
The first credit product offered to retail investors in New Zealand using constant proportion portfolio insurance (CPPI) techniques has been launched by French bank Calyon and Forsyth Barr, a New Zealand stockbroking and investment advisory firm.