Credit markets
Riding the storm
Germany's national carrier, Lufthansa, was hit hard by the September 11 terrorist attacks. The airline's chief risk officer talks to Gareth Gore about how the shock event brought about sweeping changes to its liquidity risk management
Derivative Fitch launches beta CFXO model
Derivative Fitch has today released a beta version of its Vector CFXO model for collateralised foreign exchange obligations (CFXOs), aimed at increasing transparency in the market and the understanding of its ratings.
RBC takes Nair as head of Structured Credit
RBC Capital Markets has appointed Priya Nair as managing director, global head of Structured Credit Product origination and syndication. Nair will spearhead the global coordination of origination and distribution of RBC Capital Markets’ structured credit…
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
In the shadows
Booming over-the-counter derivatives markets may be generating huge revenues for dealers, but they are also casting a worrying shadow over trading book profits in the form of counterparty credit risk. Are contingent credit default swaps the answer?
Cannon appointed
Matthew Cannon has been appointed head of Structured Credit Products, Asia-Pacific for HSBC. Cannon moves from the bank’s European offices, where he was responsible for marketing structured credit products in that region. Cannon’s appointment marks an…
BarCap and Deutsche launch bespoke CPDO
Barclays Capital and Deutsche Asset Management have come to market with the first fully managed bespoke constant proportion debt obligation (CPDO).
Rabobank closing carry trade CPDO
Rabobank is planning to close a structured foreign exchange product next week that invests in the carry trade while using the leverage mechanism of a constant proportion debt obligation (CPDO).
Allianz picks credit valuation provider
Allianz SE has chosen Moody’s KMV to provide credit valuation tools. Products the firm has selected include RiskFrontier, a portfolio-management solution, that will help it to analyse the effect of collateralised debt obligation tranches in its…
Citi and CIMB debut Malaysian CDS
Citi and Malaysia’s CIMB have conducted the first interbank credit default swap (CDS) denominated in Malaysian ringgit.
Risk 07: modern portfolio theory should be ditched, says Taleb
Banks should abandon modern portfolio theory as it does not capture unexpected rare events, according to Nassim Nicholas Taleb, author of the risk management book The Black Swan .