Credit derivatives

In the core of correlation

The single-factor Gaussian copula model has become a benchmark for the pricing and risk management of basket credit derivatives and synthetic CDO tranches. However, recent months have seen the development of a market for tranched synthetic indexes,…

Seduced by CDOs

The insurance arm of the Italian Post Office has been the country’s leading issuer of capital-guaranteed equity investments based on CDOs – portfolios of securitised debt. But when the underlying CDOs were downgraded, the retail products suffered too

Cross-market valuation

This article takes the guesswork out of what credit margin to use when valuing credit-risky derivatives, and also sheds light on how relative value trading and capital structure arbitrage may be analysed quantitatively.

Prebon plans to open US credit derivatives desk

Inter-dealer broker Prebon Yamane is planning to open a credit derivatives desk in the US, following its setting up of Asia-Pacific and Europe credit derivatives trading desks.

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