Credit spreads
Evergrande stress boosts fledgling China CDS indexes
Interest surges in products seen as better gauges of credit risk for embattled property sector
Santander’s VAR surges 17% in Q3
Macroeconomic jitters push credit spread and interest rate risk up, but bank’s traders net income windfall
SEC’s Gensler takes aim at Bloomberg’s BSBY index
Credit sensitive SOFR alternative has “many of the same flaws as Libor”, regulator says
The Libor replacement stakes: runners and riders
Credit-sensitive rates Ameribor and BSBY nose ahead of Ice, Markit and AXI; regulators keep watchful eye
ARRC’s Wipf ‘puzzled’ by appeal of Libor-like benchmarks
Credit-sensitive benchmarks face questions over inputs and compliance
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
Stanford’s Duffie shakes up SOFR credit race with AXI index
Academics propose new credit index that ditches Libor tenors for a single funding spread
Volatility scaling flops in credit alt risk premia
Strategies miss recovery from March plunge, prompting rethink on speed of mean reversion
SOFR and credit spread – Not as simple as it seems
Chris Dias, principal and global Libor solution co-lead at KPMG, explores how the market will adjust as liquidity grows and why firms must resist the temptation to default to existing processes for determining credit spread and rethink the traditional…
Bond-CDS basis keeps investors interested
Difference between cash bond spreads and derivatives tightens but still offers value, dealers say
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Fed action fails to dampen spreads for riskier credits
Borrowing costs for some issuers are still two to three times the historical average
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
Libor transition and implementation – Covering all bases
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Evaluating the impact of Libor fallback
The planned discontinuation of Libor and other interbank offer rates (Ibors) in 2022 will affect a large number of existing financial contracts based on these benchmarks. According to some estimates, Libor-based contracts – such as interest rate swaps,…
Lower interest rate risk pushes Santander’s VAR down 16%
South American portfolio accounts for largest chunk of trading risk
CVA, debt raising said to drive SoftBank CDS trading
Volumes rise as tech giant’s debt spree forces banks to hedge their counterparty exposure
Definition of credit spread risk unclear in EBA proposals
Market participants say banking book guidelines will be difficult to follow
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
FCA moots synthetic Libor as rates fallback
Once Libor is allowed to die, replacement could be risk-free rate plus fixed credit spread
Strong banks, weak stocks: should regulation share the blame?
Analysts say regulatory risk plays a part in weak bank valuations and wobbly prices
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Combining multi-asset risks for yield enhancement
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