Collateralised debt obligations (CDOs)
Moody's hits out at combined cash and synthetic CDOs
Moody's Investors Service has warned investors that the International Swaps and Derivatives Association legal documentation underpinning combined cash and synthetic collateralised debt obligations (CDOs) is far from perfect.
BNP closes its first self-managed CDO tranche in Asia
French bank BNP Paribas has closed its first self-managed synthetic CDO transaction in Asia, a first-loss equity tranche that allows the investor to substitute credits in the underlying portfolio.
JP Morgan Chase prepares first syndicated synthetic CDO
JP Morgan Chase has taken a leaf out of the bond and loan markets by putting together the first syndicated synthetic collateralised debt obligation (CDO).
Resecuritisation set for rapid growth in Japan, says Moody's
Resecuritisation deals - collateralised loan obligations (CLOs) backed by structured finance securities - are likely to grow in Japan, according to a report issued this week by Moody’s Investors Service.
Standard & Poor's enters portfolio risk modelling
Standard & Poor's (S&P) Risk Solutions has launched a portfolio risk tracker model. The model covers both credit and market risk, which should allow banks to calculate their economic capital and perform risk assessments across the full range of risks…
Regulators could stifle retail derivatives development, warns speaker
Overly strict financial regulations could stifle the development of derivatives products for retail investors, warned a keynote speaker at an international derivatives conference today, co-hosted by the Futures and Options Association (FOA) and the…
I will survive
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
Round table > "We need a better Basel Accord"
Risk invited leading players in the securitisation industry to a round-table discussion on thefuture of new business. Despite a booming Italian market, concerns over regulatory issuesdominated proceedings.
New CDO issuance picked up in April, says Goldman
The collateralised debt obligation (CDO) market witnessed a turnaround in new issuance in April, according to research from Goldman Sachs in New York. But the year-to-date new issue of CDOs in the US and European markets is still down by more 20% and 50%…
Moody’s sees record Japanese yen CDO issuance
International rating agency Moody’s Investors Service said today it rated a record ¥3.02 trillion ($25 billion) of collateralised debt obligations (CDOs) in the first quarter of the year. That compares to full-year volume of ¥3.14 trillion in 2002.
Basel's CDO solution
As the Basel Committee on Banking Supervision continues its stately progress towards a revised capital Accord, one area remains under debate: the proposed capital rules for asset securitisations.
Basel’s CDO solution
As the Basel Committee on Banking Supervision continues its stately progress towards a revised capital Accord, one area remains under debate: the proposed capital rules for asset securitisations. As some readers will recall, it was securitisations that…
Kamakura upgrades key risk management system
Kamakura, a Honolulu-based risk management technology company, has released a new version of Kamakura Risk Manager (KRM), its integrated risk management application.
New dawn for loan portfolio management
The way institutions handle credit is changing. Charles Smithson compares the results of two surveys done in the past two years to discover how portfolio management has evolved.
Managed synthetic CDOs to grow rapidly in 2003, says Fitch
A new report by credit rating agency Fitch Ratings has predicted rapid growth in managed synthetic collateralised debt obligations (CDOs) this year.
CDO managers target leveraged loans, says S&P
European collateralised debt obligation (CDO) managers are likely to target leveraged loans this year, said the European structured finance ratings unit of Standard & Poor's (S&P) today.
Westpac launches CDO of CDOs
Australian bank Westpac has closed a $1.25 billion synthetic collateralised debt obligation (CDO) backed by a pool of structured finance transactions. The deal, arranged by JP Morgan Chase, is thought to be the first such structure issued in Asia-Pacific.
Cross-sector risk transfer regulations should be reviewed, say FSA respondents
The UK's Financial Services Authority (FSA) recently released feedback on responses to Discussion Paper 11, which focused on the effects of risk transfer between the banking industry and the insurance industry via credit derivatives and related products,…
Coarse-grained CDOs
While analytical models of credit portfolio risk using conditional independence have been one of the most promising areas of recent research, they often involve granularity assumptions that are violated in CDO reference portfolios. Here, Michael Pykhtin…
Deutsche Bank credit team gets a Spanish lesson
Use of credit derivatives in structured products under scrutiny after BZ Gestion fund suffers losses
Basel II will lead to more instability, critic argues
LONDON - The Basel II bank capital accord will result in more banking instability and more pro-cyclicality, where bank actions taken in response to solvency rules reinforce economic and market cycles, a leading critic of the accord said in October.
The credit risk time bomb
Insurers remain very keen to both guarantee and invest in credit derivatives products, but key regulators are about to release reports indicating that risk transfer between the insurance and banking sectors might not be such a good idea.
Calculating portfolio loss
For credit portfolios, analytical methods work best for tail risk, while Monte Carlo is used to model expected loss. However, products such as CDOs require a model for the entire distribution. Sandro Merino and Mark Nyfeler meet the challenge by…
Risk 2002 USA: credit risk transfer under the spotlight
Robin Lenna - head of portfolio management at FleetBoston Financial - highlighted the important role of insurers in the credit risk transfer market at the Risk 2002 USA conference in Boston today, while Carl Groth - a director at Willis Structured…