Credit risk
Cognitive excellence and subtle insight
Copernico is among South America's better-known hedge funds. Ricardo Maxit, Copernico's CIO tells David Walker how the firm's two main funds work
Upgrading the rating process
As the debate rages over the usefulness of credit ratings, Moody's unveils a set of credit risk indicators derived from market movements. Will 'market implied ratings' silence the agencies' critics? Nikki Marmery investigates
Upwardly mobile
Korea
Which STP service is the best fit for you?
Plugging in to STP
The EDS dustbin
As the market talks up CDS of ABS and loan CDS as the next big things, StreetCred warns readers not to forget the fate of equity default swaps
GUS bondholders demand improved deal
The impasse that has followed bondholders' rejection of GUS's offer to repay its outstanding £350m bond at par hinges on whether the retailer has technically defaulted on the deal terms
Peter Bentley
Pimco's senior corporate bond manager gives an insight into the factors that affect the investment decisions of the world's largest fixed-income asset manager. Interview by Hardeep Dhillon
Basel II NPR Facing Overhaul In The US
Regulatory News
Barreras a la sofisticación
Gestión de carteras de crédito
An indirect view from the saddle
The saddlepoint method has become established as a tool for portfolio analysis. In this article, Richard Martin and Roland Ordovas review the main concepts and show that there are two essentially distinct ways of applying it to conditional independence…
Dynamic frailties and credit portfolio modelling
Martin Delloye, Jean-David Fermanian and Mohammed Sbai estimate and discuss a reduced-form credit portfolio model in a proportional hazard framework. They propose an innovative method of generating flexible amounts of dependence between underlying…
Dealing with seller's risk
The risk of trade receivables securitisations comes from both the pool of assets and the seller of the assets. Vivien Brunel develops a model for securitisation exposures that deals with both risks, and analyses in detail the interplay between debtors'…
The correlation debate
Retail Portfolio Risk
A twist on the Arm
Mortgage finance
Coup hits CDS markets
Thailand
The road to Basel II
The new Basel capital Accord is creating headaches for banks around the globe. However, Middle Eastern institutions that offer Islamic banking products have even more hurdles to jump. By John Ferry
Settlement biggest CDS market challenge, says Fitch
Prompt and efficient settlement is one of the biggest challenges facing the credit derivatives market, according to a survey published today by Fitch Ratings.
Thai CDS spreads blow out on military coup
A political crisis in Thailand has rattled Asian markets, causing spreads on credit default swaps (CDSs) on Thai sovereign bonds to blow out to over 50 basis points on Wednesday from 36bp a day earlier.
JP Morgan uses T-Zero for prime brokered CDS
New York-based technology firm T-Zero has announced its prime brokerage electronic affirmation utility has been used by a JP Morgan client for the first time.
Tradition plans high-yield CDS offering
Tradition, the London-based interdealer broker, plans to offer European high-yield and crossover credit default swaps (CDSs) by the end of the year.
Why illiquid instruments need no longer leave investors high and dry
illiquid instruments