Credit risk
New type of CDS gets off the ground
New Angles
The next stage for CDS
Comment
The score for credit
Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation. To…
Multi-factor adjustment
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
In the City
Columnist
An unsure future
CP195
Correlation conflict
Default correlation
Two of a kind?
Equity default swaps
Hedge funds’ swift exit
Comment
Daiwa Securities SMBC launches first rated CDO of EDS
Japan’s Daiwa Securities SMBC has launched a CDO of equity default swaps (EDS), making it the first pure EDS portfolio to be rated globally.
Creditex launches electronic trading of CDS indexes
Credit derivatives broker Creditex has launched electronic trading of credit default swaps (CDS) indexes.
A complex framework
Many Japanese financial institutions now conduct their derivatives business through their securities firms, but there are a number of legal risks in using a securities dealer as a derivatives trading entity, writes Tan Ser Kiat of Denton Wilde Sapte…
Notching: Poles apart
A long-running dispute between the 'big three' credit rating agencies concerning the practice of notching refuses to go away. Saskia Scholtes examines the latest contribution to the debate from economics consultancy Nera.
Taking the slow road
Rankings 2004
going for brokers
Stock loan
Poles apart
Notching
Dabbling with credit
Credit derivatives
A complex framework
Regulations
Poles apart
notching
Bringing credit portfolio modelling to maturity
Michael Barco shows how to perform mark-to-market credit portfolio modelling by extendingthe well-known saddle-point technique, introducing spread and recovery rate volatility. Hethen tests his results on a fictitious portfolio, showing how asset…
CreditVantage launches new probability-of-default software
CreditVantage, a division of Fitch Risk specialising in credit risk software, has launched the CRS Corporate PD Model, a package that calculates the probability of default.