Credit default swaps
JP Morgan CDS exposure could top $10 trillion
JP Morgan’s proposed acquisition of Bear Stearns could push the bank’s already formidable footprint in the credit default swaps (CDS) market through the $10 trillion notional barrier, raising questions over the prudence of such large concentrations…
Nightmare on North St
Amid countless other subprime-related lawsuits, a showdown is currently taking place between HSH Nordbank and UBS over a stricken collateralised debt obligation, named North Street. The case raises questions about practices employed at banks and across…
Still in credit
Creditex's co-founder and chief executive, Sunil Hirani, talks to Alexander Campbell
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
Dragged down
Monolines
Corporate Risk Manager of the Year - Google
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
Equity meltdown causes "sheer panic" in credit trading
As the equity markets continued their freefall today, the credit default swap market took a lead in what was described by one trader as a morning of sheer panic.
Financial services keep first spot in US and Asia CDS market
Financial services once again proved to be the busiest sectors of the credit default swap market in June in both the US and Asia, according to a report from US interdealer broker GFI.
Q-Wixx CDS platform is launched
Q-Wixx, the New York-based electronic platform for trading large portfolios of single-name credit default swaps, saw its formal launch yesterday evening.
Financial services dominate CDS market, says GFI market update
Financial services were the busiest sectors of the credit default swap market in May in both the US and Asia, according to a report from US interdealer broker GFI.
Same underlying names dominate CDS trading in December, says GFI
Credit default swaps (CDS) offering protection against debt issued by US auto companies, European telecoms and Asian financial services institutions were again the most actively traded credit derivatives in December.
Settlement biggest CDS market challenge, says Fitch
Prompt and efficient settlement is one of the biggest challenges facing the credit derivatives market, according to a survey published today by Fitch Ratings.
Markit to supply FSA with CDS pricing
The UK Financial Services Authority (FSA) has picked Markit to supply pricing information on credit derivatives.
CMCDS valuation with market models
There is little, if any, literature available on constant-maturity credit default swap (CDS) valuation. Here, Damiano Brigo builds on his no-arbitrage dynamic CDS market model to derive a formula involving a 'convexity adjustment' feature correction,…
New CDS documentation from Isda
The International Swaps and Derivatives Association has released standard documentation for three classes of credit default swap (CDS).
CMCDS valuation with market models
There is little, if any, literature available on constant maturity credit default swap valuation. Here, Damiano Brigo builds on his no-arbitrage dynamic credit default swap (CDS) market model to derive a formula involving a 'convexity adjustment' feature…
Bumped along by Basel II
Credit portfolio management has become an integral part of many big banks' risk management. Smaller banks have lagged behind, but the planned introduction of Basel II next year could provide an incentive for more active management of their loan exposures…
Primus Financial: the risk repository
Primus Financial occupies a unique place in the credit derivatives market by writing CDS protection – and then holding the swaps to maturity
Structural credit calibration
Damiano Brigo and Massimo Morini introduce first-passage models with time-varying volatility and random default barriers, while illustrating their tractability, exact calibration and economic interpretation. The models' behaviour on Parmalat data prior…
Wrong way risk modelling
Beyond its potential impact on counterparty risk exposure, the wrong way risk arising in some derivatives transactions raises important modelling challenges. Christian Redon presents two suitable models based on conditional expected exposure. Among…