Credit spreads
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
SOFR and credit spread – Not as simple as it seems
Chris Dias, principal and global Libor solution co-lead at KPMG, explores how the market will adjust as liquidity grows and why firms must resist the temptation to default to existing processes for determining credit spread and rethink the traditional…
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Libor transition and implementation – Covering all bases
Sponsored Q&A
Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Combining multi-asset risks for yield enhancement
Sponsored video: Societe Generale
Yield evaluation using median spread curves: Jerry Tempelman column
Ahead of the curve
Strong bid for credit drives down spreads in September
Trading talk: October 2010
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
High yield spreads no longer correlated to default rates: Jerry Tempelman column
High yield spreads are more highly correlated to the VIX index than to default rates.