Credit markets
Factor models for credit correlation
Stewart Inglis and Alex Lipton describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches including tranchelets
CCDS unchained?
In October, David Rowe argued that contingent credit default swaps offered only limited potential for active counterparty credit risk management. The convergence of several factors could change that
Compliance by default
Basel II
Valuing tranches of synthetic CDOs
In the second of this series of Class Notes articles, Charles Smithson and Neil Pearson consider the thorny issue of collateralised debt obligation (CDO) valuation. In the first of a two-part article (the second will be published in February 2008), they…
SIVs in need of a service
Structured Investment Vehicles
Caution at Cairn
Cairn Capital's chief executive, Paul Campbell, talks to Alexander Campbell
Back to basics
Collateralised debt obligation (CDO) arrangers were ambushed in August by the most dramatic shifts in credit markets since 2005, while many investors have shied away from complex products. Where does this leave the future of the CDO market? Mark Pengelly…
Rates rebound
Interest rates
Moody's lowers UBS rating due to subprime fears
Rating agency Moody's has cut UBS's bank financial strength rating (BSFR) from A- to B+, saying the bank still has more subprime losses to reveal.
E*Trade’s CEO departs as Citadel injects $2.5bn into the firm
E*Trade’s chief executive, Mitchell Caplan, is the latest high-profile casualty of the US subprime crisis. Jarrett Lilien, the financial services firm’s president, has been named acting chief executive.
S&P to launch three CDS indexes
Standard & Poor’s will launch three US-based credit default swap (CDS) indexes in the first quarter of 2008.
$3 billion of CPDOs at risk of unwinding
Barclays Capital estimates $3 billion of constant proportion debt obligations (CPDOs) are at imminent risk of being unwound.
CDO shakeout puts spotlight on managers
Unsettled structured credit markets are causing investors to become more scrupulous in their collateralised debt obligation (CDO) manager choices, according to market participants.
Deutsche indexes capture currency correlation in Asia
Deutsche Bank has launched a set of indexes designed to capture returns generated by what appears to be growing coordination of currency policy among Asian central banks.