Credit derivatives
Isda AGM Singapore: MAS warns about back-office frailties
Banks must continue to improve their infrastructure for the settlement of derivatives trades to keep pace with developments in the front office, said speakers at the International Swaps and Derivatives Association’s annual general meeting in Singapore…
Isda AGM Singapore: Dana CDS index protocol published
The International Swaps and Derivatives Association has published a protocol solution to facilitate the settlement of credit derivatives trades involving Dana Corporation, which filed for bankruptcy on March 3, 2006.
Isda AGM Singapore: Credit derivatives post-trade processing improves
Credit derivatives backlogs at large firms have decreased from 23.5 days to 16.2 days over the past year, according to the latest post-trade processing survey by the International Swaps and Derivatives Association.
Isda AGM Singapore: Credit derivatives up 39% in H2 2005, says Isda
The notional principal outstanding volume of credit default swaps (CDSs) grew 39% to $17.3 trillion in the second half of 2005, compared with 48% to $12.4 trillion in the first half, according to the International Swaps and Derivatives Association’s year…
Taming the lion city
Cover story: Retail CDOs
In the spotlight
Credit derivatives
A maturing market
credit derivatives
Funds driven to derivatives
Credit derivatives
CDOs on the radar
Cdo market
A step into the unknown
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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