Debt
Dealers vie with Markit to electronify bond issuance
Competing platforms could split the market for new issuance in Europe and the US
Eurozone insurers dived back into bonds in Q2
Net purchases of debt securities amounted to €15.1 billion over Q2
Network sensitivity of systemic risk
Here, we address the more general problem of how shock propagation dynamics depend on the topological details of the underlying network. To this end, we consider different realistic network topologies, all consistent with balance sheet information…
Eurozone funds charged into overseas debt in Q2
Net purchases almost reversed the first quarter’s fire sale
Asia debt market suffers SOFR inertia
Issuers of floating rate notes stick with Libor in absence of term version of risk-free rate
Altman: mega-bankruptcy wave coming
Credit conditions were worsening before Covid, research finds
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Why credit risk managers need to see around corners
The Covid‑19 pandemic – and the subsequent extreme volatility – has exposed the fragility of long-established market and supply chain systems, affecting borrowers’ ability to repay debt. David Croen, global head of credit risk products at Bloomberg,…
Safe havens no longer safe, quants fear
Equity-debt correlation breakdown and negative bond yields make investors nervous
Quants warn on credit risk in stocks
Conventional models may be missing explosion in novel exposure
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Systemic US banks’ trading portfolios swell 10% in 2019
US Treasuries held-for-trading soar 28% on Q4 2018
Equity gains bolster EU hedge funds’ portfolios
Funds were net sellers of equities, but market gains added +10% to balance sheet values
‘Rounding errors’ prompt EBRD to break with Sonia FRN norms
Index-friendly coupon structure touted as a template for future issuance in the UK market
Asia moves: Natixis hires Asia M&A chief, Deutsche Bank picks north Asia head, and more
Latest job news across the industry
Libor limbo: loan market fallback language upends lenders
Banks seek to replace painful fallback language in loan docs and avoid a cost-of-funds contingency
Bank risk manager of the year: HSBC
Risk Awards 2020: New market risk system proves its worth in a year of emerging market blow-ups
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
Goldman leads US banks on trading VAR, but not on revenue
NY-based dealer makes $9.1bn trading revenue year-to-date to JP Morgan’s $18.7bn
Low investment grade debt a staple of EU insurer portfolios
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
The theoretical foundations of XVAs
Bloomberg analyses the theoretical basis of XVAs, focusing on the works and findings of its head of quantitative XVA analytics, Mats Kjaer, who emphasises the role of the capital valuation adjustment as a major driver of derivatives trading profitability…
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
Debt and the oil industry: analysis on the firm and production level
This paper analyzes the relationship between debt and the production decisions of companies active in the exploration and production of oil and gas in the United States.
