Skip to main content

Credit risk

pg51-fery-gif

Credit derivatives: the next generation

Now that credit default swaps and other credit derivatives are moving into the mainstream of financial trading, a new range of products and structures are being developed using synthetic techniques. Calyon's Loic Fery and Ally Chow review some of these…

pg52-track-gif

Overcoming the barriers to a CDS futures market

The long-awaited CDS futures contract from Eurex has suffered repeated setbacks. Initially planned for launch last year, it is yet to make an appearance. Sell-side inertia, documentation disputes and a booming OTC market are some of the obstacles it…

Modelling and estimating dependent loss given default

Martin Hillebrand proposes a portfolio credit risk model with dependent loss given default (LGD), offering a reasonable economic interpretation that is easily applicable to real data. He builds a precise mathematical framework, and stresses some…

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here