Browsing: Credit Derivatives

Modeling of Credit Risk
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Credit Derivatives

Corporate Distress and Its Derivatives

Mar 31st, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, CDO Structuring and Credit RIsk, Hedge Funds, Event-Driven Hedge Funds, Credit Derivatives, Structured Credit Products, Structured Products

Henry T.C. Hu, of the University of Texas at Austin, School of Law, has written an article on the “information asymmetries” that are associated with corporations that are in financial distress, but not under bankruptcy court protection. It is an article that sends us back to the Christmas selling seasonRead More


Can LIBOR Be Replaced?

Feb 12th, 2019 | Filed under: Newly Added, Derivatives, The A.I. Industry, Credit Derivatives, Economics, Macroeconomics, Structured Products, Finance & Economics

Given a long wave of scandals that lasted from 2008 until 2012, most of the derivatives industry, and most of its regulators, have agreed that the London Interbank Offered rate [Libor] ought to be replaced by a more tamper-resistant mechanism. Surely there must be an index that will measure theRead More


CEOs and the effect of education on use of convertible bonds

Nov 29th, 2018 | Filed under: Newly Added, Derivatives, The A.I. Industry, Credit Derivatives, Equity-linked Structured Products, Structured Credit Products, Structured Products, Finance & Economics

Three scholars affiliated with the University of Manchester have  published a paper that reaches a striking view of corporate leadership and the decision to issue convertible bonds. Cynics have long suspected that Wall Street smart-alecks have roped the executives of corporations into issuing instruments that are contrary to the bestRead More


Hedging or Trading? Why Italian Banks Use Derivatives

Aug 23rd, 2018 | Filed under: Newly Added, Derivatives, The A.I. Industry, Risk management, Hedge Funds, Credit Derivatives, The Global Economy & Currencies, Commodities, Economics, Institutional Asset Management, Risk Management Strategies & Processes, Risk Management & Operations

A recent report by the Bank of Italy looks at why the various banks of Italy use derivatives. Specifically, the central bank of that country wanted to know: is it a matter of hedging? Or is it a matter of keeping a proprietary book? Hedge fund managers and other pursuersRead More


The Irrelevance of Dodd-Frank & Memories of the Crisis

May 28th, 2018 | Filed under: Newly Added, Credit Derivatives, Risk Management Strategies & Processes, Structured Credit Products, Structured Products, Risk Management & Operations

There has been some political excitement of late concerning the repeal of part of the Dodd-Frank statute, which was the great post-crisis reform bill that sought to remake the financial regulatory system in the United States. On Thursday, May 24, President Trump signed a bill that exempts dozens of banksRead More


Sovereign Credit Swaps: Europe’s Sovereigns and Regime Changes

Aug 16th, 2016 | Filed under: Newly Added, The A.I. Industry, Asset allocation, Regulatory Environment, Credit Derivatives, Asset Allocation Models, Structured Credit Products, Structured Products, Allocating to A.I.

Andrea Consiglio and two of his colleagues have developed models for the management of risk in the sovereign credit swaps market, and they have successfully back tested these models against recent European history. Consiglio is a professor at the University of Palermo, in Italy. Sovereign CDS’ are contracts that offerRead More