Collateralised debt obligations (CDOs)
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs). Following on from their December 2007 article, which focused on CDOs referenced to corporate credits, the authors turn their attention to CDOs of asset…
AIG admits errors in credit loss estimates
American International Group's (AIG) writedowns on its US subprime exposure were more than triple the original estimate, it emerged yesterday.
Rising from the ashes
Collateralised loan obligations
The determinants of corporate credit spreads
Credit default swaps (CDSs) are an integral tool used for the management of credit risk by financial institutions. Despite their importance, good models for the determination of CDS spreads, also called corporate credit spreads, are not readily available…
Factor models for credit correlation
Stewart Inglis and Alex Lipton describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches, including tranchelets
Legal lethargy
Constraining buy-side institutions to hold only investment-grade securities uses a nearly century-old metric with limited contemporary relevance. David Rowe supports one modest proposed reform
Calibration of CDO tranches with the dynamical GPL model
Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti show that a simple loss dynamics based on the…
Market-implied Archimedean copulas
Computations of implied copulas are a central element in producing loss distributions of bespoke portfolios and pricing their tranches. This process is made feasible by the availability of index tranche pricing data. Luigi Vacca shows how it is possible…
Lost in the crowd
Liquidity risk
Credit tails
Model Risk
A tragedy in three acts
Timeline
Hedge Fund of the Year - Stark Investments
Risk Awards 2008
Insurance Risk Manager of the Year - Hannover Re
Risk Awards 2008
Derivatives Research House of the Year - Citi
Risk Awards 2008
Derivatives House of the Year - JP Morgan
Risk Awards 2008
Factor models for credit correlation
Stewart Inglis and Alex Lipton describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches including tranchelets
Morgan Stanley and Merrill Lynch reveal billions more subprime damage
The subprime crisis continues to deepen as Morgan Stanley and Merrill Lynch, two of the worst-affected US banks, reveal further damage - and an SEC investigation into Merrill Lynch.
The determinants of corporate credit spreads
Credit default swaps (CDSs) are an integral tool used for the management of credit risk by financial institutions. Despite their importance, good models for the determination of CDS spreads, also called corporate credit spreads, are not readily available…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
Modelling CDO tranches with dependent loss given default
Guido Giese presents an analytic methodology for pricing collateralised debt obligations tranches including stochastic and dependent loss given default
Calibration of CDO tranches with the dynamical GPL model
Consistent calibration of a credit index and its tranches across maturities with a single arbitrage-free model is a difficult problem. Here, Damiano Brigo, Andrea Pallavicini and Roberto Torresetti show that a simple loss dynamics based on the…
Deutsche and VTB launch CIS corporate CDO
Deutsche Bank and VTB Bank Austria have launched a collateralised debt obligation (CDO) based on corporate debt from member countries of the Commonwealth of Independent States (CIS).