Credit risk
Custody battle
Following the losses suffered in the wake of the collapse of Lehman Brothers last September, hedge funds are increasingly looking to place initial margin with bankruptcy-remote third-party custodians. But prime brokers are staunchly refusing to surrender…
Going electronic
Collateral management functions currently exchange margin call notices and confirmation of interest payment by email, but the need for automation is becoming more urgent. The industry is looking to define the sequence of messages that would need to be…
Rehabilitating innovation
The financial crisis has put greater focus on the accuracy of models, with some regulators criticising banks for placing too much reliance on model outputs. In an introduction to this month's Cutting Edge section, Mauro Cesa, Risk's technical editor, and…
The hybrid saddlepoint method for credit portfolios
Anthony Owen, Alistair McLeod and Kevin Thompson derive a practical analytic approach, which they call the hybrid saddlepoint method, to calculate the credit loss distribution for a heterogeneous portfolio of correlated obligors
CDS: Spreads move in both directions across the regions
Credit default swap 5-year mid-levels for structured products issuers (Wednesday July 29)
Ice Clear Europe launches CDS clearing
Ice Clear Europe, the facility set up by Atlanta-based central counterparty (CCP) IntercontinentalExchange (Ice) for the clearing of European credit default swaps (CDS), has obtained regulatory approval and started clearing operations.
CDS: Spreads widen again after run of tightening
Credit default swap 5-year mid-levels for structured products issuers
CDS: Narrowing continues across issuers
Credit default swap 5-year mid-levels for structured products issuers
Eurex CDS clearing solution to start on July 30
Eurex will begin clearing European index and single-name credit default swaps (CDS) as of July 30, the exchange said today.
CDS: Tightening trend continues, with Deutsche slipping under 100bp
Credit default swap 5-year mid-levels for structured products issuers (July 23-July 24)
CDS: Nordea and Svenska maintain tightening trend
Credit default swap 5-year mid-levels for structured products issuers (July 17-July 21)
Cebs calls for varying capital buffer rules
Reform of the Basel II capital adequacy rules should include a varying capital buffer to compensate for losses and smooth out the effects of the business cycle, European regulators said on Friday.
CDS: Rally on improved risk appetite
Credit default swap 5-year mid-levels for structured products issuers (July 17)
Race against the clock for European CDS CCPs
With just two weeks remaining until the European Commission’s deadline for central counterparties (CCPs) to begin clearing credit default swaps (CDSs), two of the competing platforms are still waiting for regulatory approval.
CDS: Spreads tighten for second day
Credit default swap 5-year mid-levels for structured products issuers (July 16)
CDS: Spreads tighten on positive earnings news
Credit default swap 5-year mid-levels for structured products issuers (July 15)
TSE targets Japanese banks for CCP
The Tokyo Stock Exchange (TSE) is courting domestic financial institutions to become clearing members of its proposed central counterparty (CCP), which it is developing alongside its 86.3%-owned clearing arm, Japan Securities Clearing Corp (JSCC).
CDS: Spreads narrow tracking equity rally
Credit default swap 5-year mid-levels for structured products issuers (July 14)
Central clearing will need new laws, Isda report finds
New laws will be needed in the US and Europe to support the introduction of central clearing of credit default swap (CDS) trades, according to a study published yesterday by the International Swaps and Derivatives Association.
CDS: Spreads narrow slightly; US earnings eyed
Credit default swap 5-year mid-levels for structured products issuers (July 10)