Credit default swaps
Credit derivatives house of the year: Citi
Single-name CDSs still have buy-side fans and many have come to see Citi as the go-to dealer
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
Isda escapes CDS case pledge to help CFTC
Association still faces licensing overhaul as part of pending settlement
Buy side: central clearing 'a mess' as sell-side dialogue hits 'fever pitch'
Asset managers want to see futurisation of swaps get off the ground in Europe
Banks shun internal models in CVA impact study
Accounting exposures win out as banks seek to align capital with front-office practice
Time series models for credit default swap premiums
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
Cutting Edge introduction: Law-abiding FVA
HSBC quant develops an FVA model that preserves the law of one price
The Lincoln assassination, pt II: who pulled the trigger?
Language neutering swaps push-out was the work of political staff and banks
CFTC may need to 'step in' to end MAT drought - Reinhart
Isda AGM: no new products added to Sef mandate list in 13 months
China banks ready for tougher leverage ratio rules
State-owned and private banks already above 4% standard regulators are introducing
Credit derivatives – looking forward in a time of change
Sponsored video: MarketAxess
Risk Italia Rankings 2014
Roller-coaster year brings turmoil and opportunities
No arbitrage: New rules make markets 'less efficient'
Indexes may be less effective hedges in absence of arbitrageurs
Scotland secession: would UK CDSs be affected?
Analysts split on crucial questions for CDS protection holders
Scotland secession unlikely to split UK CDSs, analysts say
No ambiguity in 2014 contracts, but questions exist over 2003 vintage
Isda asked to consider "potential" Argentina CDS event
Kicillof comments mean contracts can be extended, law firm argues
Cutting Edge introduction: CVA for CDSs
Counterparty risk is generally thought of at a portfolio level, but understanding how a particular payout interacts with credit and debit valuation adjustments could help banks make business decisions. Laurie Carver introduces this month’s technical…
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Proxy war: Shrinking CDS market leaves CVA and DVA on shaky ground
Runaway adjustments
DVA for assets
DVA for assets
