Credit markets
Avoiding complexity
Investor profile – GIC
Avoiding complexity
Investor profile – GIC
Commodities conundrum
Regulation
Sweden's relaxed attitude
Country profiles: Sweden
Will credit cards drop their guard?
legislation
Reversal of fortune
market graphic
All shook up
Comment
Bringing asset-backeds to the masses
Credit Derivatives
Loss in translation
Ben De Prisco, Ian Iscoe and Alex Kreinin introduce a new analytical approach for valuing synthetic collateralised debt obligations. The approach differs from current analytical approaches by focusing on the tranche's loss distribution directly, as…
Squaring factor copula models
Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl…
Editor’sletter
Comment
Winds of change
correlation
The T. ROWE method
profile
Crisis of correlation
Cover Story
German banks in mezzanine finance row
New angles
RiskNews
RiskNews
Coping with copulas
Book review
Financial alchemy
Relative value
Wrapping risk
Monolines
Living with recognition
Accounting standards
CDS notional reached $6.3 trillion at end of 2004, BIS says
The Bank for International Settlements (BIS) included figures on credit default swaps (CDS) trading for the first time in its semi-annual over-the-counter (OTC) derivatives market report. According to the recently released report, the notional amounts…
iTraxx credit-linked notes launched
International Index Company, the Frankfurt-based firm that administers the European and Asian iTraxx credit derivative indexes, has launched three five-year iTraxx credit-linked notes.
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…