Credit markets
Derivatives markets - A brief history of time
10-year anniversary
Another chapter for credit
Comment
Trading down the slopes
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. Mascia Bedendo, Lara Cathcart, Lina El-Jahel and…
Unbiased risk-neutral loss distributions
Luigi Vacca introduces entropy maximisation (ME) to derive portfolio loss probabilities that are consistent with standard tranche prices on a credit default swap index. Tranche prices that are calculated using ME are free of arbitrage. A numerical…
Tranche value on a yo-yo
Correlation trading
The evolution of variance
Cover story
RiskNews
RiskNews
Recovery swaps trading on the rise
New angles
Weapons for mass construction
Supranationals
New auction to solve settlement woes
New angles
Delphi default prompts CDO shake-up
New angles
Isda amends Delphi index protocol
The International Swaps and Derivatives Association has amended the Delphi credit default swap index protocol, which was opened and closed only yesterday.
HSH Nordbank closes second ship loan securitisation
HSH Nordbank has closed its second ship loan securitisation deal, named ‘Ocean Star 2005’. The German bank, based in Hamburg and Kiel, used a private placement of structured notes to transfer the credit risk of a ship loan portfolio worth about $570…
Art of influence
Tom Wilson's work helped change the way the industry thinks about credit risk, alternative risk transfer and corporate risk culture. What now for ING Insurance's new head of risk management? By Navroz Patel
Isda opens Delphi index protocol
The International Swaps and Derivatives Association has opened its Delphi CDS index protocol, aimed at speeding up cash settlement of credit derivatives involving the bankrupt US auto parts manufacturer.
Risk's CreditRisk Summit 2005: Bottom-of-the-cycle LGD criticised
Speaking yesterday at Risk 's CreditRisk Summit USA, Bogie Ozdemir, a New York-based senior director in the risk solutions group at Standard and Poor’s, argued that Basel II’s suggested approach to defining loss-given-default (LGD) can lead to an overly…
Thomson launches online CDS market-place
US market operator Thomson TradeWeb has opened its TradeWeb CDS online credit default swap market-place for business, with eight dealers already members.
Sponsor's Event> Algo Capital and Credit Forum 2005
Basel II and today’s market landscape make it essential for financial institutions to manage risk and capital in a systematic and transparent manner across the enterprise.
Isda Delphi protocol in the works and bond auction scheduled
The New York-based International Swaps and Derivatives Association is creating a protocol to facilitate the settlement procedure of credit derivatives index and tranche contracts that reference Delphi, the Detroit-based auto supplier dealer that filed…
Building a capital plan
Banks are required under Basel II to have a process in place for assessing their overall capital adequacy in relation to their risk profile. Bernard Manson and Christopher Hall outline how to construct a capital plan to ensure minimum capital…
Trouble in paradise
Healthy balance sheets, swollen liquidity reserves and positive cashflows should be the words every bondholder wants to hear, but they could spell bad news for credit investors in the US as companies prepare to reward equityholders
Under Scrutiny - Regulators focus on credit
Well-publicised risk issues and a recent growth spurt have brought credit markets firmly under the scrutiny of global regulators. Nikki Marmery investigates whether the attention will prove to be a boon for attracting more investment - or a barrier to…
Fitch places 73 CDO tranches with Delphi exposure on negative rating watch
Fitch Ratings has placed 40 tranches from 15 public collateralised debt obligations (CDOs) and 33 tranches from 24 private CDOs on negative rating watch. The total exposure of these rated transactions is €1.27 billion.