Credit markets

CDSs on European banks narrow as stock markets rally

The cost of credit protection on European banks began to fall this morning following data from the US showing the rate of decline in the US manufacturing sector is decelerating, coupled with reports of UK house prices rising for the first time since…

Factor models for credit correlation

Stewart Inglis, Alex Lipton and Artur Sepp present an extension of the static factor model for pricing credit correlation products introduced by Lipton (2006) and detailed in Inglis & Lipton (2007)

CDSs on European financials widen

As equity markets tumbled this morning amid fears the US government would not extend further aid to the auto industry, the cost of credit protection on European banks rose.

CDSs on banks under UK asset protection programme widen

The cost of credit protection on UK banks rose marginally this morning. As the deadline of March 31 for UK banks to sign up to the government's asset protection programme approaches, banks already participating in the scheme saw their CDSs widen the most.

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here