Credit markets
Securitisation will not be damaged by Basel II, says Mercer Oliver Wyman
Securitisation and related forms of credit risk transfer are unlikely to suffer in the long-term under the Basel II proposals, according to a report published today by financial and risk management consultancy, Mercer Oliver Wyman.
Lehman to launch credit default swap indexes
Lehman Brothers plans to launch a number of credit default swap indexes covering the US, Europe and Japanese credit default swaps (CDS) market by July.
Nomura taps retail market with Japan fund of funds
Nomura Securities has begun distributing its first Japanese fund-of-hedge-funds product targeted at Japanese retail investors. Called Nomura Japan Stock Market Neutral Fund 03-05, the fund invests in four underlying Japan-focused market-neutral funds.
Securitisation will not be damaged by Basel II, says Mercer Oliver Wyman
Securitisation and related forms of credit risk transfer are unlikely to suffer in the long-term under the Basel II proposals, according to a report published today by financial and risk management consultancy, Mercer Oliver Wyman.
More dealers sign up to new credit derivatives matching service
BNP Paribas, Bear Stearns, Credit Suisse First Boston, Goldman Sachs and UBS Warburg are the latest dealers to sign up to a new global credit default swap (CDS) matching service, which the Depository Trust & Clearing Corporation (DTCC) plans to launch…
A fast-evolving world
Introduction
I will survive
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
Credit barrier models
Claudio Albanese, Giuseppe Campolieti, Oliver Chen and Andrei Zavidonov construct an analytic credit barrier model driven by credit ratings, constrained to fit the term structure of credit spreads
All in Accord
Basel II
Methodology
Credit awards 2003
Bursting the bubble
Credit of the month
Sweeping it under the carpet
German securitisation
Rhodia
News
Losing track?
Tracking error
Performance anxiety
CDO benchmarking
A cautious embrace
Credit indexes
DBS launches synthetic CDO
New angles
A focus on clients
End-user poll 2003
UOB makes it three
New angles
A blend of assets
Credit/equity hybrids
Enhancing yields
Structured products
Merrill launches regional CDS
New angles
Struggling for returns
Hedge funds
A different class of asset
Mortgage-backed securities