Credit risk
Isda welcomes outcome of SG appeal
The International Swaps and Derivatives Association has publicly welcomed a decision by the US Second Circuit Court of Appeals, overturning a ruling that forced Société Générale to pay out on a contentious credit default swap (CDS) contract.
With a bang or a fizzle?
With the deadline having passed for submitting Basel II risk model applications to national regulators, Europe's financial institutions should be well on their way to compliance. But the reality is that many are still struggling to implement the new…
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…
Europe bonds as futures derivatives mature
instruments - bond index futures
Tops down as convertibles change gear?
Convertible arbitrage's comeback in 2006 was one of the year's hedge fund highlights. Those left standing after the cull of 2005 might now have some room to breathe, but what is in the air, and which way is it blowing?
Covering your credit risk
instruments - cds
Behind Solent's towering success
Solent Capital Partners has won plaudits - and investors - for managing collateralised debt obligations, and also for its credit-based hedge fund product, reports Solomon Teague
Bursting point: A deflating time for US housing market
The US housing market has come down to earth with a bump, but the landing has not been as hard as many investors had feared. There are even some positives to be gleaned from the recent strong performance of mortgage-backed securities and the success of…
MassMutual launches new CDPC
New York-based Invicta will act as a counterparty on CDS exclusively within structured credit rather than the single-name market, which its rivals serve
EHYA presses for greater loan disclosure to combat 'parallel' markets
Market participants trading loans privately on a bilateral basis may have an advantage over investors who trade solely using public information - a situation the EHYA is keen to tackle
Back to basics: the cash CDS basis
We take you back to the credit basics to review everything you thought you already knew but were too afraid to ask... Moorad Choudhry, head of treasury at KBC Financial Products in London, discusses the credit default swap basis
Market Graphic: Credit card ABS spreads
Market Graphic
Creating the LDI infrastructure
UK pensions
Software Survey 2007
Software survey 2007
CDSs on CDOs
Isda documentation
FSA cautions higher correlation may increase risk
Increasing correlation across asset classes and geographies has heightened the risk of a rapid widening of spreads and a decline in some asset classes, according to the UK’s Financial Services Authority (FSA).
Shortfall: a tail of two parts
Richard Martin and Dirk Tasche show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the…
Collateral thinking
Regulation