Credit markets
Sponsor's article > When is best practice good enough?
A dramatic change in banking regulation has been the move from prescriptive procedures towards 'best practice' risk management. Disagreements about how quickly the new approach can be applied to credit risk is central to arguments about revising Basel II.
OCBC and Deutsche offer $1 billion synthetic CDO
Singapore's Oversea-Chinese Banking Corporation (OCBC) and Deutsche Bank have launched a managed synthetic investment-grade collateralised debt obligation (CDO) transaction worth $1 billion. 'OCBC global investment grade CDO 1' went on sale this week.
All your hedges in one basket
Leif Andersen, Jakob Sidenius and Susanta Basu present new techniques for single-tranche CDO sensitivity and hedge ratio calculations. Using factorisation of the copula correlation matrix, discretisation of the conditional loss distribution followed by a…
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When is best practice good enough?
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