Credit risk
Q&A: Sean Flannery
The chief investment officer for the Americas at State Street Global Advisors in New York discusses the opportunities offered by decomposition of risk as a result of the growth of the credit derivatives market
Managed succession
CPDOs
Steepeners:no great catch
Synthetic credit
¿Mucho ruido y pocas nueces?
BasIlEA ii
Reconstruyendo la gestion de prßstamos
Riesgo de crßdito
Credit risk contagion
In a recession, company defaults increase due to both the worsening economic environment and the specific links between customers and suppliers. Banks intuitively know that customer default can cause supplier default. Duncan Martin and Chris Marrison…
Stunned by subprime
CDOs of ABSs
Credit market ricochet
The run-up to the March roll of the iTraxx and Dow Jones CDX indexes saw an intense burst of trading activity as spreads widened sharply. Popular index trading strategies fell by the wayside, while new players such as CPDOs entered the market. How did…
Citi and Fortis launch managed equity programme
Citi has launched a managed equity programme in partnership with Fortis Investments, the Brussels-based investment manager. Called Botticelli, the programme comprises a variety of equity tranche-linked notes, each offering different risk-return…
Lehman and Pioneer complete managed CPDO
Lehman Brothers, with Dublin-based asset manager Pioneer Investments, has closed its first managed constant proportion debt obligation (CPDO), called Ulisse Capital.
RAPM popular, but doubts remain over reliability
Risk-adjusted performance measurement (RAPM) techniques are spreading rapidly across the risk management industry, but many still doubt how reliable the results are, according to an industry survey.
Gearing up for ever higher leverage
Rising leverage in the global system coupled with fears for the accuracy of credit risk pricing dominated discussion at the World Economic Forum in Davos this year. But not everyone is downbeat, as Matthew Attwood finds out
Back to basics
We take you back to the credit basics to review everything you thought you already knew but were too afraid to ask ... Juan-Carlos Martorell, director in structured credit marketing at ABN Amro in London explains the mechanics of CPDOs
CDS documentation
Market graphic
Q: What do the distressed debt market and the Japanese puffer-fish have in common? A: They're both irresistible - but highly toxic
Distressed debt investors gearing up for a bumper year should take note of the name of Babson's new credit fund, Fugu, after the deadly Japanese puffer-fish - a prized delicacy that can be lethal if not prepared correctly. Philip Moore reports on the new…
South Africa - The African frontier
Securitisation
Driving local markets
Synthetic credit
The African
Securitisation
Default and recovery correlations - a dynamic econometric approach
Integrating coherences between defaults and loss given default (LGD) is postulated by Basel II. If there is a positive correlation between the two, separate models for each lead to biased estimates for the LGD parameters, and the economic loss is…