Credit risk
Robert Lepone
The head of European loan trading at Morgan Stanley in London discusses issues surrounding the new loan CDS indices
CPDOs: A volatility game
A triple-A rated structure that pays Libor plus 200bp. Who wouldn't be interested in such a product? Perhaps the sceptics warning against the 15 times leverage and the instrument's high exposure to volatility. Laurence Neville reports
Buying in bulk
Features
Opening the door to credit
Cover story
Maintaining consistency
Credit
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…
FSA starts monitoring banks’ management of collateral
The Financial Services Authority (FSA) has started investigating how large investment banks manage their collateral, fearing they may not be ready for a sudden market downturn.
FSA starts monitoring banks’ management of collateral
The Financial Services Authority (FSA) has started investigating how large investment banks manage their collateral, fearing they may not be ready for a sudden market downturn.
GFI: Motoring, telecom and financials are most active CDS
The motor industry, fixed-line communications and financial services were all heavily traded in the credit default swaps (CDS) market in November, according to New York-based interdealer broker GFI.
Multi-strategy: the flexible alternative
multi-strategy roundtable
iTraxx launches leveraged loan cds indices
The two new indices, LevX Senior and LevX Subordinated, which began trading at the start of November, are referenced to a basket of 35 European leveraged loans
US managers set the pace in European CLO market
The burgeoning market for collateralised loan obligations in Europe has attracted the attention of large, established US managers, keen to get a piece of the action. So what effect is this influx of transatlantic thoroughbreds having on the European CLO…
Is da documentation working?
CDS on CDOs
Fitch responds to growth in derivatives by spinning off specialist agency
The new standalone entity, Derivative Fitch, will bring together the rating agency's global CDO and structured credit functions and is headed up by Kim Slawek
Crossing boundaries
Portfolio Margining
Reconstructing loan management
European banks are taking advantage of the benign credit environment to overhaul the way they manage their loan portfolios. With credit spreads at record lows, banks are increasing their use of credit derivatives for hedging. By Rachel Wolcott
Taking shelter?
Credit
Protected from the credit glare?
Systemic risk
Out of the box
Data