Collateralised debt obligations (CDOs)
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
Structured product holdings fall at big US dealers
Morgan Stanley's portfolio more than halves in 2018 to $401 million
Lifetime achievement award: Craig Broderick
Risk Awards 2019: Goldman’s long-serving CRO helped bank survive the crisis, and then adapt to new world
Driverless insurance: regulating Prudential without the Fed
Scrutiny on largest US insurer should not be laxer than on second-tier US banks, experts warn
US banks shuffle structured product portfolios
Investments classified as available-for-sale drop $8.7 billion across six largest dealers
Goldman Sachs is last major bank holding CDO squared
$50 million of legacy positions reported in dealer's trading book at end-June
Unskewed incentives: making governance work
EIB model head explains a four-step process for putting risk at the centre of governance efforts
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Modeling joint defaults in correlation-sensitive instruments
This paper presents a simple model for joint defaults and shows how it can be applied to pricing and risk-managing instruments that are sensitive to credit correlation.
On derivatives and quants
Alexander Lipton on how the role of quants is adapting to the new financial environment
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Asian insurers recoil from structured products
Institutional and regulatory barriers blamed for poor take-up of derivatives by life companies
Chenavari exploiting opportunities in energy, Asia and liquid alts
Credit player launches Ucits European vehicle and eyes '40 Act funds
Taiwan insurers take Formosa bonds over structured credit
Growth of renminbi assets ends Taiwan insurers' love affair with structured credit
Technology vendor of the year: Moody's Analytics
Firm leverages credit market expertise to ride crest of CLO revival
S&P court loss in Australia unlikely to spark rival claims
Standard & Poor's found to owe duty of care with CDO ratings
Cutting edge intro: CDOs and the risk of risk aversion
New analysis shows CDOs can withstand high levels of correlation – what they can’t cope with, though, is a sudden change in risk appetite
Why CDOs work
Collateralised debt obligations have largely gone under the radar since the 2007 financial meltdown, when their market collapsed. Nearly every attempt at explaining the cause of their failure pointed towards flawed assumptions in pricing models and…
Securitised credit tops profitability league for hedge funds
Performance and asset flows of securitised credit products have combined to make this group one of the most profitable for investors and hedge fund managers. But there are now signs of waning interest