Securitisation

Credit model meltdown

Dealers are trading increasingly high volumes of bespoke tranches of synthetic credit risk with each other, yet there still appears to be little consensus on the application of credit models. Is there a danger the house of cards may come tumbling down?

The EDS dustbin

As the market talks up CDS of ABS and loan CDS as the next big things, StreetCred warns readers not to forget the fate of equity default swaps

Winner: Surf

In our monthly roundup of innovative deals in the credit markets, we highlight ABN Amro's groundbreaking Surf deal, Calyon's Confluent CLO and Landsbanki's dollar issue

Citi reorganises structured credit

Citigroup has reorganised and expanded its global structured credit business. The firm has combined its cash and synthetic structured credit businesses and made some key hires, as well as establishing an illiquid structured credit trading business area…

L Sankar, Jure Skarabot

Citigroup credit derivatives specialists explain why the Gaussian copula model, despite its flaws, is still the market standard for analysing correlation

Credit derivatives: the next generation

Now that credit default swaps and other credit derivatives are moving into the mainstream of financial trading, a new range of products and structures are being developed using synthetic techniques. Calyon's Loic Fery and Ally Chow review some of these…

The plight of permanent capital

Permanent capital vehicles have been touted as a solution for alternative asset managers seeking stable long-term financing. However, the market has all but closed to new business, prompting deal sponsors to rethink the way these vehicles are structured…

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