Credit derivatives
A three-factor hazard rate model for single-name credit default swap pricing
The authors propose a reduced-form model in which the evolution of the risk-neutral hazard rate is driven by three risk factors.
Using portfolio management to steer your way through foggy market conditions
Post-pandemic uncertainties, market consolidations, increasingly complex portfolio compositions, margin compressions, new competitors interest rate rises. Portfolio managers are operating in foggy conditions
Pimco loses $400m on failed Russia CDS bets
Revised markdowns suggest bond giant has already crystallised losses on sold credit default swaps
Active credit portfolio management: audiocast
In this Risk.net audiocast, Zoi Fletcher speaks to Biagio Giacalone and Alexis Hamar about how active credit portfolio management can be the linchpin of improved risk/reward ratios and how the efficient use of capital drives banks’ overall profitability.
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
Mifid II transaction reporting and risk management: the quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.
PGIM credit options binge lifts Barclays, Morgan Stanley
Counterparty Radar: Insurer’s AM arm doubled its market share in Q4 2021 as bought protection swells
Avoiding cash drag using equity index futures
Learn how Equity Index futures, from CME Group, can be used to keep a portfolio fully exposed to its benchmark index while allowing cash to remain for operational purposes.
CDS users mull ‘uniform’ price as Russia fallback
Pricing agreement could replace dealer estimates if sanctions scupper default auctions
Morgan Stanley bests Goldman as top US fund single-name CDS dealer
Counterparty Radar: Single-name corporate volume hits record high as Pimco increases positions
US funds continue expansion of sold CDS protection
Counterparty Radar: Pimco leads charge with $57 billion in total sold positions
Norway oil fund’s derivatives book balloons 192% in H2 2021
Sovereign wealth fund GPFG piled up FX and IR contracts and tapped CDS for the first time
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
Credit default swaps on Russian companies face uncertain future
With CDS auctions on sanctioned companies unlikely, traders may have to rely on dealer estimates
Credit derivatives house of the year: BNP Paribas
Risk Awards 2022: Relative value trades propel French dealer into US top tier for index and single names
Indexed fixed income
An audiocast discussion about the evolution of indexation in fixed income markets
Leveraging data in e-FX trading
A white paper explaining how, in a world where electronic trading has infiltrated virtually every aspect of today’s FX market, having access to data and the means to interpret it are fundamental components of a successful e-FX strategy
UK bank derivatives exposures rose by £38bn in Q3
FX contracts drove the overall increase
How derivatives management is changing post‑Covid‑19
Risk.net explores five derivatives trading themes discussed by experts in a recent webinar sponsored by Numerix
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
Defiant ECB urges ‘further work’ on clearing relocation
Policy-makers moot changes to Emir to tackle systemic risks of third-country CCPs
A pricing model with dynamic credit rating transition matrixes
This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method
UK bank derivatives exposures fall by £321bn in Q2
At £1.12 trillion, FX exposures are at their lowest levels for seven years
UK banks interest rate swap exposures fall £711bn
Credit derivatives exposures bucked the downward trend, growing 16% quarter on quarter