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New type of CDS gets off the ground
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Massive hike in credit derivatives pay, survey shows
London-based managing directors running exotic credit trading businesses at top-tier investment banks can expect pay increases of almost 50% from what they got last year, according to a survey.
New York meeting brings iBoxx and Trac-x merger closer
The banks behind the iBoxx CDX credit derivatives indexes have agreed on points that could herald a merger between the index and its big rival, the Dow Jones Trac-x index, following a meeting in New York, reports Risk’s sister publication Credit .
S&P introduces new CDO benchmarking tool
Rating agency Standard & Poor’s (S&P) has introduced a new tool for rating the performance of synthetic collateralised debt obligations (CDOs). Synthetic rated overcollateralisation (SROC) is a measure designed to let investors quantify the chance of a…
Securitisation specialists urge last-minute changes to Basel II
The securitisation industry is keeping the pressure on in the hope of some last-minute fine-tuning of the new Basel Accord, due for completion in mid-2004.
Erasing Enron
Awards 2004
The big picture
Focusing only on measuring VAR and stress tests limits the role of the risk manager.And there are great benefits from a wider view of what risk management can achievefor a company. By Brett Humphreys
The score for credit
Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation. To…
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