Looking to the horizon
Banks need to relate their point of time credit default probabilities to the longer horizons demanded by regulators. Norbert Jobst and Dirk Tashe describe a solution to the problem

Tweaking Archimedes to find tail risk
Natalia Puzanova describes a new way of constructing hierarchical Archimedean copulas which ensures that sampling is straightforward and that tail risk is not underestimated

CLOs that delivered
Sayed Kadiri hunts among the growing number of called CLOs to find the deals that have delivered the highest final returns for equity investors – and finds one with a 150% return

JP Morgan dominates debt – again
Creditflux data shows that despite issuance waxing and waning across the year and becoming shorter dated, US banks are still by far the world’s leading issuers.

Network overload
Intense competition among communications network makers is creating tough trading conditions and could push one of the largest out of business.

Elite CLO managers grow bigger still
GSO/Blackstone's leap to the top of the CLO manager rankings amid a flurry of purchases shows clearly how CLO heavyweights have bulked up in 2011.