Technical paper
Gamma process dynamic modelling of credit
The existing generation of credit derivatives models is unsatisfactory because they generally contain arbitrage, cannot describe the dynamics of the process, and are hard to extend beyond vanilla products. Martin Baxter has created a new tractable family…
Modelling South African swap spreads
Sponsored Statement
Pricing basis risk in survivor swaps
Technical papers
The probability approach to default probability
Cutting Edge: Credit portfolio risk
Going downturn
There is much debate regarding the definition of 'downturn' loss given default (LGD). In this article, Michael Barco offers an analytic approach for calculating downturn LGD so that credit risk capital is not underestimated or overestimated
The determinants of corporate credit spreads
Credit default swaps (CDSs) are an integral tool used for the management of credit risk by financial institutions. Despite their importance, good models for the determination of CDS spreads, also called corporate credit spreads, are not readily available…