Credit markets
Bank results spark fears of further losses
European banks published their much-anticipated 2007 results in February, revealing the extent of the subprime crisis, and hinting at more trouble ahead
Dinallo's dilemma
Editor's letter
Crisis point
Monolines
Hedging into the future
Variable Annuities
The last risk silo
Operational Risk
A little protection
US market
Emissions possible
Underlyings
Default lines
Credit ratings
Marking to make-believe
Opinion
Market-implied Archimedean copulas
Computations of implied copulas are a central element in producing loss distributions of bespoke portfolios and pricing their tranches. This process is made feasible by the availability of index tranche pricing data. Luigi Vacca shows how it is possible…
Spiralling debt
Cover story
Valuing tranches of synthetic CDOs
Class notes
A trick of the credit tail
Credit derivatives
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset…
Credit evolution
Editor's letter