Credit default swaps
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Swaps data: initial margin soars in Q1 2020
Model procyclicality drives wide variation in CCP IM hikes through Covid-19 volatility, writes Amir Khwaja of ClarusFT
Ice Europe’s CDS unit hit by almost 1,000 IM breaches in Q1
Peak breach was €100 million in size
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Recent defaults lead to record credit derivatives payouts
CDS auctions have yielded historically low recovery rates this year, meaning swap sellers have had to pay more than normal
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
Sold CDS notionals climbed 16% at top US banks in Q1
Net fair value of credit protection positions vaults to $5.3 billion
Swaps data: record trading volumes in March
CDS activity doubles through Covid-19 turbulence, while US interest rate swap trading marks new high
Markit plans SOFR credit spread add-on using CDS data
Vendor taps vast pool of credit market data to create new benchmark “not dissimilar” to Libor
How regional banks could shape US Libor replacement
Regulators convene working group to address credit sensitivity concerns
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Local banks’ CDSs chase Italy’s sovereign risk higher
MPS and Banco BPM creditworthiness lags Italy’s
Cleared sovereign CDS volumes build as pandemic spreads
South Korea and Italy CDS vols dominate Ice Clear Credit and Ice Clear Europe, respectively
CDX volumes roar upward on coronavirus panic
Notional traded volumes hit multi-year highs in each of the last three weeks
iTraxx volumes spike amid market panic
Volumes of Ice-cleared index contracts more than four times higher than average
Swaps data: cleared volumes drop for all markets – except FX
Smaller CCPs make market share gains in a quarter of double-digit declines for rates and credit
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
Volume pop leads to higher IM at Ice Clear Europe CDS
Open interest in CDX contracts increased 78% in first nine months of 2019
IM phase five – Smaller on bang, bigger on complexity
The initial margin ‘big bang’ may have been reined in by last-minute relief, but dealers aiming to get hundreds of buy-side firms over the documentation finish line by September 1, 2020 fear a compliance bottleneck
Clearing house innovation of the year: Ice Clear Credit
Risk Awards 2020: Clearing house lures fund business with efficient new Monte Carlo methodology