Credit default swaps

Market models for CDS

In August 2004, Risk published an article on the pricing of credit default swap (CDS) options entitled A measure of survival by Phillip Schönbucher. Here, Damiano Brigo provides an alternative derivation of the CDS option pricing formula based on Cox

CDS options emerge in Asia

Credit default swap (CDS) options on Asian names have emerged on broker screens, with two CDS option trades referenced to Hong Kong conglomerate Hutchison Whampoa trading through brokerage firm Icap in early June.

BNP Paribas tailor-makes Japanese CDS index

French bank BNP Paribas has created a sub-index to its CJ50 index of the 50 most liquid Japanese credit default swaps (CDS). Called CJ Flex, the sub-index is referenced on about 30 investment-grade credits, worth a total notional amount of more than ¥10…

All your hedges in one basket

Leif Andersen, Jakob Sidenius and Susanta Basu present new techniques for single-tranche CDO sensitivity and hedge ratio calculations. Using factorisation of the copula correlation matrix, discretisation of the conditional loss distribution followed by a…

Isda and BMA propose 35% charge for restructuring risk

The International Swaps and Derivatives Association (Isda) and the Bond Market Association (BMA) submitted a comment letter today to the Basel Committee on Banking Supervision in which they argued that, for the sake of capital calculations, loans hedged…

Isda muddies debt waters

The International Swaps and Derivatives Association (Isda) has finally released its 2003 credit derivatives definitions, which take effect on March 17.

The credit risk time bomb

Insurers remain very keen to both guarantee and invest in credit derivatives products, but key regulators are about to release reports indicating that risk transfer between the insurance and banking sectors might not be such a good idea.

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