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01 Jul 2004

Credit markets

Axa releases largest single-tranche CDO

Axa Investment Managers this week issued a €1.3 billion managed synthetic collateralised debt obligation (CDO), called Aria CDO 1, the largest single-tranche deal to date.

30 Jun 2004

Credit markets

Correlated defaults: let's go back to the data

Estimates of asset value correlation are a key element of Merton-style credit portfoliomodels. Many practitioners have access to asset value data for a large universe of listedfirms, so estimation is within reach. Alan Pitts describes a statistical…

29 Jun 2004

Markets

Bank associations hit out at Basel II failings

International banking bodies have hit out at perceived failings in the final version of the Basel II capital Accord, published by the Basel Committee on Banking Supervision on June 26.

29 Jun 2004

Markets

Bank associations hit out at Basel II failings

International banking bodies have hit out at perceived failings in the final version of the Basel II capital Accord, published by the Basel Committee on Banking Supervision on June 26.

28 Jun 2004

Credit markets

CDS options emerge in Asia

Credit default swap (CDS) options on Asian names have emerged on broker screens, with two CDS option trades referenced to Hong Kong conglomerate Hutchison Whampoa trading through brokerage firm Icap in early June.

21 Jun 2004

Credit risk

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.

14 Jun 2004

Credit markets

Fitch finds CDS participants should act before times of stress

Credit default swaps (CDS), although an efficient risk management tool, should not be used solely in reaction to times of greatest stress when many corporates are illiquid, said a Fitch Ratings special report, Liquidity in the credit default swap market:…

10 Jun 2004

Credit markets

DTCC expands CDS matching service

The Depository Trust and Clearing Corporation (DTCC) has expanded it credit default swaps matching service to cover Asia-Pacific corporates and sovereigns, as well as a number of credit default swap indexes.