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How to price recovery risk
8 years ago
How to price recovery risk -
Choosing a skilled CLO manager
9 years ago
Roberto Liebscher and Thomas Mählmann argue that some managers are more skilled than others – and that skilled managers deliver higher returns from CLO equity tranches -
What are a spread’s ingredients?
9 years ago
In established credit models, default risk explains only a small portion of credit spread. Bo Wang analyses the impact of other factors, including equity markets and interest rates -
Filling out the credit curve
9 years ago
Takeaki Kariya uses a government bond pricing approach to analyse corporate credit risk -
An end to bump and reval
9 years ago
Adjoint algorithmic differentiation can slash the computational time for valuation by three orders of magnitude. Luca Capriotti and Jacky Lee show how it can be applied to credit -
The power of two
9 years ago
When modelling credit risk from volatility, two factors are better than one -
Putting low rates under a microscope
9 years ago
Cho-Hoi Hui suggests using a double square-root process with a non-linear drift term to capture recent near-zero interest rates more accurately when pricing corporate bonds -
Taking coupons into account
9 years ago
Sara Cecchetti and Antonio Di Cesare show that bond yields and spreads are not good indicators of default risk – and that coupon rate is an important driver of the yield curve -
Keeping in sync with sinking bonds
9 years ago
Jan-Frederik Mai and Marc Wittlinger describe a technique for pricing bonds that have a random sinking fund feature without the need to resort to time-consuming Monte Carlo algorithms -
What rates really mean to credit
9 years ago
Credit portfolio managers should take better account of the correlation between rates and credit -
Measuring portfolio counterparty risk
9 years ago
Swaps referencing large credit portfolios present a particular problem when firms attempt to measure their counterparty risk. Agostino Capponi presents a model that could help -
Unstirring cocos
9 years ago
Separating credit risk from the probability of conversion is the key to pricing cocos, argue Damiano Brigo, João Garcia and Nicola Pede -
Tackling counterparty risk with CDS
10 years ago
A chain of credit default swaps may be an effective way to hedge out counterparty risk in a securitisation or covered bond -
A model of corporate behaviour
10 years ago
Haejun Jeon and Michi Nishihara propose a credit risk model based on a borrower's option to invest. It helps explain the small gap between high yield and investment grade spreads -
Getting the measure of reg cap relief
10 years ago
Credit default swap spreads reflect not only expected losses but also the value of regulatory cap relief under Basel 2.5 and Basel III -
Finding inefficiencies in iTraxx
10 years ago
Credit derivative indices are big and liquid. But detailed analysis of their historical performance shows they are not always efficient. By Davide Avino and Ogonna Nneji -
Credit default swaps stop fire sales
10 years ago
Companies with credit default swaps have more liquid bonds and tighter spreads than those that don’t because investors can hold their bonds after a downgrade -
How to value a coco
10 years ago
Converting default risk into conversion risk provides a method for valuing contingent convertibles, according to Patrick Cheridito and Zhikai Xu -
When credit gets ahead of equity
10 years ago
Corporate bonds were regarded as lagging followers of equity markets. But Trace data shows that, in many cases, debt anticipates stock moves -
Translating insolvency from Chinese
10 years ago
China can pass on to the west some valuable lessons about insolvency rules and how they apply to derivatives, and to company debt in general -
In search of a grand unifying theory
10 years ago
Tomasz Bielecki, Areski Cousin, Stéphane Crépey and Alexander Herbertsson describe the construction of a model that aims to make credit correlation work bottom-up and top-down -
Fine-tuning the momentum signal
10 years ago
Daniel Haesen, Patrick Houweling and Jeroen van Zundert describe an approach that slashes volatility and improves returns in momentum strategies for corporate bonds -
CLOs win out in the crisis
10 years ago
Analysis shows that, as an alpha-generating asset class, CLO equity has an edge over hedge funds and private equity since the onset of the global financial crisis -
Swiss Re’s $750m solvency trigger coco is much riskier than it seems
10 years ago
The new coco from Swiss Re pays 6.375% annually but the trigger is set in an unusual way. Jan De Spiegeleer, Jan Dhaene and Wim Schoutens look at the risk of investors losing out -
Making a case for pre-funded bonds
11 years ago
They may not be commonly issued but collateralised coupon bonds should be more attractive to investors than zero coupon bonds
25 results found Showing page 1 of 1
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