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.

Restructuring debate will rage on after CP3, says Munro

The Basel Committee's widely anticipated ditching of restructuring as a required credit event for capital relief in its forthcoming third consultation paper on Basel II, will not bring to an end the heated debate between hedging banks and investors over…

Restructuring debate will rage on after CP3, says Munro

The Basel Committee’s widely anticipated ditching of restructuring as a required credit event for capital relief in its forthcoming third consultation paper on Basel II, will not bring to an end the heated debate between hedging banks and investors over…

Isda muddies debt waters

The International Swaps and Derivatives Association (Isda) has finally released its 2003 credit derivatives definitions, which take effect on March 17.

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