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Risk magazine

Gamma loss and prepayment

Peter Jackel presents a model for the dynamics of fractional notional losses and prepayments on asset-backed securities for the valuation and risk management of derivatives, including waterfall structures and other structured debt obligations on bespoke…

Let's jump together: pricing credit derivatives

Joao Garcia, Serge Goossens and Wim Schoutens introduce a dynamic multivariate jump-driven model for credit spreads. The model parameters come from a calibration on swaptions and a correlation-matching procedure. The authors apply the model to credit…

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Rising above it?

Merrill Lynch's decision to ditch its collateralised debt obligation portfolio in July has been spun as a brave attempt to draw a line under its structured credit losses. But how good is the deal, and does it represent a template for other firms…

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Towards T+0 reconciliation

The Counterparty Risk Management Policy Group's third major policy statement appeared in early August - and it presents surprisingly radical demands, says David Rowe

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