Credit default swaps
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…
Isda proposes net physical settlement
The International Swaps and Derivatives Association has released a draft of the net physical settlement supplement to the 2003 credit derivatives definitions, which aims to simplify the settlement of credit default swaps (CDSs) after a credit event.
PPF should not ignore CDSs, Isda says
The UK Pension Protection Fund (PPF) should recognise credit default swaps (CDSs) when assessing the risk attached to pension funds' investments, the International Swaps and Derivatives Association argued today.
Trading down the slopes
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. Mascia Bedendo, Lara Cathcart, Lina El-Jahel and…
Unbiased risk-neutral loss distributions
Luigi Vacca introduces entropy maximisation (ME) to derive portfolio loss probabilities that are consistent with standard tranche prices on a credit default swap index. Tranche prices that are calculated using ME are free of arbitrage. A numerical…
Thomson launches online CDS market-place
US market operator Thomson TradeWeb has opened its TradeWeb CDS online credit default swap market-place for business, with eight dealers already members.
Auto CDS trades still dominate US market
The US credit default swap market continues to be dominated by contracts based on the debt protection of automobile and auto parts manufacturers, indicating the unpheaval caused by the downgrades of Ford and GM in May have not yet died away.
Eurex to launch CDS index product
Eurex has licensed International Index Company's European iTraxx indexes in preparation for the launch of an exchange-traded contract based on the European credit default swap (CDS) index before the end of the year.
Autos still most active CDS in US and Europe
The effect of Standard and Poor's downgrading the credit ratings of debt owned by Ford and General Motors two months ago is still washing through the credit default swap (CDS) market.
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
TriOptima run eliminates $880 billion in surplus CDS
Five software runs conducted this month by the Scandinavian service company TriOptima have resolved $880 billion in outstanding single-name and index credit default swaps (CDS).
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Jumps as components in the pricing of credit and equity products
The equity and credit markets have become increasingly integrated over recent years. This has increased the need for models and tools that allow traders to hedge their risk simultaneously in the two markets. Here, Daniel Bloch presents an approach that…
Market models for CDS
In August 2004, Risk published an article on the pricing of credit default swap (CDS) options entitled A measure of survival by Phillip Schönbucher. Here, Damiano Brigo provides an alternative derivation of the CDS option pricing formula based on Cox
A measure of survival
Credit derivatives