Credit markets
Questioning the numbers
Model risk has become a key focus for financial institutions. But how do dealers ensure their models are implemented correctly and that they accurately reflect the risks an institution is running? By Laurence Neville
Kamakura expands CDS information service
Kamakura has added credit default swap (CDS) correlations for 16,000 CDS to its online credit information service.
Raising the standard
The German insurance industry is actively pushing forward the discussion on the standard model within the scope of Solvency II
PPF should not ignore CDSs, Isda says
The UK Pension Protection Fund (PPF) should recognise credit default swaps (CDSs) when assessing the risk attached to pension funds' investments, the International Swaps and Derivatives Association argued today.
Markit and CDS IndexCo launch synthetic ABS index
CDS IndexCo and Markit Group have teamed up to launch ABX.HE, a synthetic asset-backed securities (ABS) index of US home equity ABSs. The index will formally debut January 18.
ABX index to launch next week
The ABX asset-backed security index will launch next week as an easier way for investors to take positions in default risk on US residential mortgages, according to its developers, Markit and CDS IndexCo.
Credit derivatives operations get 33% rise in investment, says survey
Dealers devoted greater resources to their operations procedures in 2005, a year when both the UK Financial Services Authority and the New York Federal Reserve applied regulatory pressure on credit derivatives practitioners because of the rapid rise in…
Markit and FT Interactive Data to form strategic alliance
Markit and FT Interactive Data have formed a partnership in corporate and government bond evaluations that the companies believe will provide a greater degree of transparency in the credit markets.
Deutsche credit correlation trader under investigation for £30m shortfall
A credit derivatives trader at Deutsche Bank in London was suspended in mid-December pending an internal probe into how he managed to overstate the profits on his book by £30 million. Anshul Rustagi, who traded tranched credit indexes for the bank’s…
The capital calculation question
Retail portfolio risk
Emerging asset classes
Structured Products
Financing the oligarchs
Corporate finance
A case for convergence?
Bank capital
Price drivers - Policy fears in EU ETS
Developments in 2005 have shown that the EU ETS price has been correlated to relative fuel prices and weather. However, there are still remaining policy issues that could greatly influence prices, writes Henrik Hasselknippe and Kjetil Roine from Point…
Market focus - Sky-high cost of clean air
US emissions allowance prices for sulphur dioxide (SO2) rose nearly 200% in 2005 and 300% during 2004. Sandy Fielden of Logical Information Machines examines the SO2 emissions allowance market and discovers which market drivers are forcing prices ever…
Gary Jenkins & Jim Reid
Deutsche Bank's credit strategists explain the findings from their recent study investigating the past 100 years of corporate bond returns
Australia - High yield boosts growth
A landmark deal from Tabcorp in 2004 marked the emergence of the high-yield bond market in Australia, while the rebalancing of the UBS Composite Bond Index to include lower-rated credits is also fuelling growth, writes Alan McNee in this month's regional…
The implication of inflation
Inflation
Isda docs to spur CDS of ABS growth
S&P reckons standardisation of Isda documentation will attract investors
ABS to continue rapid ascent
European asset-backed securitisation volumes for 2005 are estimated to surpass 2004's figures by 10-15%
Nancy Havens-Hasty
The founder and portfolio manager at Havens Advisors talks to Saskia Scholtes about what gives her hedge fund the edge in M&A and bankruptcy investment
Pension fund hedging drives inflation market volatility
Outsized inflation swap trades by pension funds may be causing imbalances in what is a relatively thin market
iTraxx and RBS launch sterling CDS index
The 75-name index is made up of the most liquid sterling bond issuers