Credit markets
Broadening horizons
Structured products
RMBS rollercoaster
Mortgages
Buoyant bursa
Profile
Routes for restructuring
Synthetic credit
Trouble in Taipei
Cover story
'Toxic' by association
Credit-linked notes
A return to nuts and bolts
Risk management
Gamma loss and prepayment
Peter Jackel presents a model for the dynamics of fractional notional losses and prepayments on asset-backed securities for the valuation and risk management of derivatives, including waterfall structures and other structured debt obligations on bespoke…
Let's jump together: pricing credit derivatives
Joao Garcia, Serge Goossens and Wim Schoutens introduce a dynamic multivariate jump-driven model for credit spreads. The model parameters come from a calibration on swaptions and a correlation-matching procedure. The authors apply the model to credit…
Rising above it?
Merrill Lynch's decision to ditch its collateralised debt obligation portfolio in July has been spun as a brave attempt to draw a line under its structured credit losses. But how good is the deal, and does it represent a template for other firms…
Tools of the traders
Technology
The capital ratio conundrum
Regulatory capital
Wary of the IRC
Basel II
Expect the unexpected
Stress testing
Don't follow the herd
Quant funds
Valuing hard-to-value assets
In this Class Notes article, Charles Smithson considers some of the lessons learned from the recent credit crisis. In particular, he reflects on the difficulties faced by many institutions in valuing illiquid structured finance instruments, and makes…