Collateralized Debt Obligations: Structuring, Pricing and Risk Analysis
... Moody’s Binomial Expansion Technique Start with a portfolio of M bonds, each (for simplicity) having the same notional value X. Each issuer is classified into one 32 industry classes. The portfolio is deemed equivalent to a portfolio of M’
... Moody’s Binomial Expansion Technique Start with a portfolio of M bonds, each (for simplicity) having the same notional value X. Each issuer is classified into one 32 industry classes. The portfolio is deemed equivalent to a portfolio of M’
Chapter 5
... where t is the current period; T is the bond’s time to maturity; i is the stochastic defaultfree interest rate process; (t, X(t)) is the default intensity process, i.e., the risk neutral PD; (t, X(t)) is the recovery rate (1 – LGD); (t,T,X(t)) is the liquidity premium; is a stock market bubble ...
... where t is the current period; T is the bond’s time to maturity; i is the stochastic defaultfree interest rate process; (t, X(t)) is the default intensity process, i.e., the risk neutral PD; (t, X(t)) is the recovery rate (1 – LGD); (t,T,X(t)) is the liquidity premium; is a stock market bubble ...
Everything You Wanted to Know about Credit Default Swaps-
... Nevertheless, Securities and Exchange Commission (SEC) chairman Christopher Cox was quoted in a recent Washington Post series as telling an SEC roundtable: "The regulatory black hole for credit-default swaps is one of the most significant issues we are confronting in the current credit crisis . . . ...
... Nevertheless, Securities and Exchange Commission (SEC) chairman Christopher Cox was quoted in a recent Washington Post series as telling an SEC roundtable: "The regulatory black hole for credit-default swaps is one of the most significant issues we are confronting in the current credit crisis . . . ...
What central banks can learn about default risk from credit markets
... Credit default swap prices. These were available for annual maturities between one and 10 years from the JP Morgan website. JP Morgan is a leading market-maker in credit default swaps. The prices are indicative middle-market rates. Firm bid and ask quotes are available from the same site for three-, ...
... Credit default swap prices. These were available for annual maturities between one and 10 years from the JP Morgan website. JP Morgan is a leading market-maker in credit default swaps. The prices are indicative middle-market rates. Firm bid and ask quotes are available from the same site for three-, ...
ice clear credit llc exhibit h: portfolio approach to cds margining and
... corresponding index-derived positions in such a way that the Risky PV01 (the present value of 1 (one) basis point of risky annuity paid or received, until the earlier of a credit event, or the maturity of the CDS contract) remains constant after change of notional. Once the opposite positions have t ...
... corresponding index-derived positions in such a way that the Risky PV01 (the present value of 1 (one) basis point of risky annuity paid or received, until the earlier of a credit event, or the maturity of the CDS contract) remains constant after change of notional. Once the opposite positions have t ...
Derivatives issues to consider at the outset of a restructuring
... loan and the currency of its revenue. In such a case, the lender may require the borrower to enter into a currency swap pursuant to which the borrower will make payments in the currency of its revenue and receive payments in the currency of its loan, such payments determined by reference to a preagr ...
... loan and the currency of its revenue. In such a case, the lender may require the borrower to enter into a currency swap pursuant to which the borrower will make payments in the currency of its revenue and receive payments in the currency of its loan, such payments determined by reference to a preagr ...
No Slide Title
... particularly concerned that it has become more exposed to one borrower than it would like ...
... particularly concerned that it has become more exposed to one borrower than it would like ...
The Microfinance Collateralized Debt Obligation: a Modern Robin
... “Although the General Motors episode [of 2005] might not repeat itself, it should nonetheless be a lesson for the future; whether or not the credit environment becomes riskier over the next couple of years, similar sudden changes in CDS spreads most likely will strike the CDS index market from time ...
... “Although the General Motors episode [of 2005] might not repeat itself, it should nonetheless be a lesson for the future; whether or not the credit environment becomes riskier over the next couple of years, similar sudden changes in CDS spreads most likely will strike the CDS index market from time ...
Credit Default Swaps and the synthetic CDO
... o The note issue will be of interest to investors who wish to hold credits but where opportunities are limited because of liquidity issues, or lack of market intelligence / expertise in analysis of high yield debt. o The class A, B and C notes pay from 55 bps to 275 bps over 3m euribor, (2008 expect ...
... o The note issue will be of interest to investors who wish to hold credits but where opportunities are limited because of liquidity issues, or lack of market intelligence / expertise in analysis of high yield debt. o The class A, B and C notes pay from 55 bps to 275 bps over 3m euribor, (2008 expect ...
Lester Coyle - We look at where the bonds will be in a year
... might be 5% or 6%. But because of rolldown, the first year real yield could be 8% or 9%. In European CMBS we are buying paper with a two-year average life that has as much as 10% yield. Why does roll-down provide such a big pick-up? Many double Bs should get upgraded as the senior notes pay down, an ...
... might be 5% or 6%. But because of rolldown, the first year real yield could be 8% or 9%. In European CMBS we are buying paper with a two-year average life that has as much as 10% yield. Why does roll-down provide such a big pick-up? Many double Bs should get upgraded as the senior notes pay down, an ...
DOC - Europa.eu
... close a position can only do so by going back to the original counterparty (usually a dealer) or by entering into an offsetting contract with a different counterparty. In the latter case, the net exposure of the participant is reduced to zero. However, the risk associated with the two contracts is n ...
... close a position can only do so by going back to the original counterparty (usually a dealer) or by entering into an offsetting contract with a different counterparty. In the latter case, the net exposure of the participant is reduced to zero. However, the risk associated with the two contracts is n ...
CDS Spread Determinants
... The theoretical variables, such as leverage; historical volatility, and risk-free rate show similar results as the whole sample. However, the results for financial industry show different pattern, compared to non-financial industry, which may be due to unique characteristics of financial firms. In g ...
... The theoretical variables, such as leverage; historical volatility, and risk-free rate show similar results as the whole sample. However, the results for financial industry show different pattern, compared to non-financial industry, which may be due to unique characteristics of financial firms. In g ...
risk periods and “extreme” market conditions
... • Sizing the trade accordingly/not being too greedy in “normal” times • “Market Neutral” involves a mix of factor hedging (model/normal times) and “shock protection” strategies (build into the strategy extra convexity and insurance) __ “Turn this frown upside down, boy!” • Diversification to reduce ...
... • Sizing the trade accordingly/not being too greedy in “normal” times • “Market Neutral” involves a mix of factor hedging (model/normal times) and “shock protection” strategies (build into the strategy extra convexity and insurance) __ “Turn this frown upside down, boy!” • Diversification to reduce ...
European Commission
... 13 investment banks, ISDA and Markit in credit default swaps investigation The European Commission has informed some of the world's largest investment banks of its preliminary conclusion that they infringed EU antitrust rules that prohibit anticompetitive agreements by colluding to prevent exchanges ...
... 13 investment banks, ISDA and Markit in credit default swaps investigation The European Commission has informed some of the world's largest investment banks of its preliminary conclusion that they infringed EU antitrust rules that prohibit anticompetitive agreements by colluding to prevent exchanges ...
مشروع المنتجات المالية في الفقه الإسلام
... Pressure on wealth base accumulates Crash is imminent to restore balance ...
... Pressure on wealth base accumulates Crash is imminent to restore balance ...
An introduction to pricing methods for credit derivatives
... Credit Default Swaps: • The most important derivative (2002: accounting for about 67% of the credit ...
... Credit Default Swaps: • The most important derivative (2002: accounting for about 67% of the credit ...
subprimecrisis
... AIG • AIG was bailed out to the tune of $80 billion, because it had margin calls on CDS contracts it wrote. • They need an additional $38 billion because they are experiencing more margin calls on their credit default swaps. ...
... AIG • AIG was bailed out to the tune of $80 billion, because it had margin calls on CDS contracts it wrote. • They need an additional $38 billion because they are experiencing more margin calls on their credit default swaps. ...
Credit default swap
A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer (usually the creditor of the reference loan) in the event of a loan default (by the debtor) or other credit event. This is to say that the seller of the CDS insures the buyer against some reference loan defaulting.The buyer of the CDS makes a series of payments (the CDS ""fee"" or ""spread"") to the seller and, in exchange, receives a payoff if the loan defaults. It was invented by Blythe Masters from JP Morgan in 1994.In the event of default the buyer of the CDS receives compensation (usually the face value of the loan), and the seller of the CDS takes possession of the defaulted loan. However, anyone can purchase a CDS, even buyers who do not hold the loan instrument and who have no direct insurable interest in the loan (these are called ""naked"" CDSs). If there are more CDS contracts outstanding than bonds in existence, a protocol exists to hold a credit event auction; the payment received is usually substantially less than the face value of the loan.Credit default swaps have existed since 1994, and increased in use after 2003. By the end of 2007, the outstanding CDS amount was $62.2 trillion, falling to $26.3 trillion by mid-year 2010 and reportedly $25.5 trillion in early 2012. CDSs are not traded on an exchange and there is no required reporting of transactions to a government agency. During the 2007-2010 financial crisis the lack of transparency in this large market became a concern to regulators as it could pose a systemic risk. In March 2010, the [DTCC] Trade Information Warehouse (see Sources of Market Data) announced it would give regulators greater access to its credit default swaps database.CDS data can be used by financial professionals, regulators, and the media to monitor how the market views credit risk of any entity on which a CDS is available, which can be compared to that provided by the Credit Rating Agencies. U.S. Courts may soon be following suit.Most CDSs are documented using standard forms drafted by the International Swaps and Derivatives Association (ISDA), although there are many variants. In addition to the basic, single-name swaps, there are basket default swaps (BDSs), index CDSs, funded CDSs (also called credit-linked notes), as well as loan-only credit default swaps (LCDS). In addition to corporations and governments, the reference entity can include a special purpose vehicle issuing asset-backed securities.Some claim that derivatives such as CDS are potentially dangerous in that they combine priority in bankruptcy with a lack of transparency. A CDS can be unsecured (without collateral) and be at higher risk for a default.