Credit risk
Upended by downgrades
Collateralised commodity obligations
Aussies show their backbone
Australia
Not stressed enough
Stress testing
Q&A: Rick McVey
In the wake of news that Thomson is to sell off part of TradeWeb, we ask the chief exec of e-trading platform MarketAxess how he sees the electronic bond trading landscape evolving
Markit to distribute data on Reuters 3000 Xtra
The new service - the first time Markit has distributed data via a third party - will give Reuters users access to pricing on the iTraxx and CDX indices, as well as end-of-day pricing on other credits
Hedge funds: The bargain hunters
There are rich pickings to be had amongst the ruins of the summer's ravaged credit markets: hedge funds that survived the crisis are now putting together funds to invest in the wide availability of cheap securities. Nikki Marmery meets the executives at…
Deal of the month
Schneider Electric
For whom cat risk tolls
Reinsurance derivatives
Verkehrte Welt
Verbriefung
Ratingagenturen unter Beschuss
Ratingagenturen
Die Subprime-Pest
Europäische Subprimes
Ein Jahr der Extreme
Deutsches Risk Rankings 2007
Not stressed enough
Stress testing
The risk of one
Fund derivatives
Financials dominate CDS trading again
Credit default swap (CDS) trading activity in the US focused on the financial sector in October, according to a release by New York-based broker GFI Group.
Calibration of PD term structures: to be Markov or not to be
A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger Overbeck show that empirical multi-year default…
Ratings figure
Monolines
Marking to mayhem
Market ups and downs have produced a roller-coaster ride for mark-to-market valuations of structured credit. Funds have responded by suspending net asset value calculations, arguing it is impossible to fairly value assets held by them under present…
The value of a system
Collateral management
How to heal a paper cut
London-based hedge fund manager Solent Capital hit the headlines in August after its SIV-lite, Mainsail II, became a victim of the liquidity squeeze in the commercial paper market, and was forced to wind down. However, the manager is looking to take…
Movie Gallery in credit event auction
Troubled US video store chain Movie Gallery has seen the price of its loan derivatives fixed at 91.5% following a credit event auction.