Bonds
Victory at last
The seismic movements in the financial markets last year confounded even the experts, as correlation took down every asset class and unwitting trader going. Victor Sperandeo, better known as Trader Vic, talks exclusively on the back of his latest index…
The art of debt
Governments across the globe face huge increases in borrowing requirements, sparking concern over possible rating downgrades, while many have seen their credit default swap spreads widen dramatically. Despite this, sovereign debt management offices claim…
Morgan Stanley feeds hunger for Gilt-backed products
Morgan Stanley has launched a new UK government bond backed plan and re-issued three other plans, one of which is the third in a series of Gilt-backed issues, designed to mitigate counterparty risk.
Big bang: new dawn for CDS market
The 'big bang' protocol, which changes the way credit derivatives are quoted and traded, may have brought a CDS exchange one step closer
ADB highlights risks posed by growth of local bond markets
Sovereign bond sales will increase significantly this year
Treasury-plus
Profile
When did the JGB market become efficient?
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…
When did the JGB market become efficient?
Focusing on the deviation from the fair-yield curve, Koichi Miyazaki and Satoshi Nomura discuss the transition in efficiency observed in the Japanese government bond market and find out that the turning point was in 1996, when the Japanese repo market…
Primus Financial: the risk repository
Primus Financial occupies a unique place in the credit derivatives market by writing CDS protection – and then holding the swaps to maturity
Germany prepares for first linker issue
The German government is set to issue €5.5 billion worth of inflation-linked bonds next week. They will be the first linkers issued by Germany.
Shadow interest
Using a Vasicek process for the shadow rate, Viatcheslav Gorovoi and Vadim Linetsky develop an analytical solution for pricing zero-coupon bonds using eigenfunction expansions, and show how to calibrate their model to the Japanese bond market. This…
Open Platform - Prepare for Even More Scrutiny
As the Attorney General, the SEC and other regulators join forces to oversee the bond market, we may need to police ourselves.
Portfolio allocation to corporate bonds with correlated defaults
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…
BondsInAsia may add Singapore, Hong Kong futures to electronic trading
Web-based electronic trading platform BondsInAsia is hoping to add Singapore and Hong Kong futures to its product range in the medium-term, according to the platform’s chief executive, Albert Cobetto.
Basel II could reinforce economic cycles more than expected, says BIS study
BASEL – The Basel II bank capital accord could reinforce economic cycles to a greater extent than expected, according to a working paper issued today by the Bank for International Settlements (BIS), the so-called central bankers’ central bank.
Basel bonds Canada
The largest Canadian banks have banded together to share default data, making it much more likely they will all qualify for the most advantageous regulatory capital approach under the Basel II capital Accord.
Margining the spread
Liquidity risk