Credit spreads
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
Sponsored video: Societe Generale
Yield evaluation using median spread curves: Jerry Tempelman column
Ahead of the curve
Strong bid for credit drives down spreads in September
Trading talk: October 2010
Quant Congress USA: Ban DVA, counterparty risk quant says
Banks should not book paper profits as their own debt quality worsens, the Risk conference heard yesterday
High yield spreads no longer correlated to default rates: Jerry Tempelman column
High yield spreads are more highly correlated to the VIX index than to default rates.
Credit spread widening fails to generate buying interest
Despite spreads widening last month to more attractive levels, investors remain cautious on expectations of a prolonged period of volatility for the credit markets.
Credit spreads widen on Greece concerns
The positive sentiment caused by good Q1 results has faded as sovereign woes and the Goldman Sachs lawsuit weighed heavily on credit investors.
Bilateral counterparty risk with application to CDSs
Previous research on credit valuation adjustments (CVAs) with correlation between underlying and counterparty default, including volatilities of both, assumed unilateral default risk. However, the crisis prompted counterparties to ask institutions to…
Individual names in top-down CDO pricing models
The Gaussian copula collapsed as a means of pricing collateralised debt obligations in the crisis of 2008, as to match prices and deltas nonsensical correlation parameters were required. By adapting the traditional framework to cater for more general…
Interview with Vladimir Piterbarg
Vladimir Piterbarg talks about his new article published in the Cutting Edge section of Risk magazine
A capital lifeline?
Guaranteeing investors' capital with your own bonds has always been a convenient way for banks to borrow money from investors at the same time as offering them a cut in the upside of the chosen underlying in a structured note. Such fundraising is often…
The equity volatility-credit link
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