Credit derivatives
Derivatives Sizing up the market
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
A measure of survival
Credit derivatives
The CDS indicator
credit derivatives
Central banks seek more data on credit derivatives
The Bank for International Settlements (BIS) is going to ask dealers in the credit derivatives market to supply more information about their business, including information on who they are dealing with.
Beyond the bond
cds focus
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.
Correlation conflict
default correlation
CDO utlook
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A singular success
cdos
The perils of pricing
valuations
Pricing and hedging credit default swaps on indices
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Coming of age
credit default swaps
Hunting for paper
cdo market
Credit derivatives innovations essential for health of credit market
Product structurers must continue to develop innovative credit derivatives products to keep people interested in credit, according to Bob Janjuah, ABN Amro's global head of credit strategy.
Optional extras
credit options
A sharper focus
cdo market
Diluting risk
portfolio management
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.
Recounting credit risk
credit default swaps
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.