Credit Derivatives
Structured Finance: Unleash the Inefficiency
Nov 29th, 2020 | Filed under: Derivatives, CDO Structuring and Credit RIsk, Newly Added, Credit Derivatives, CAIA Alternative Viewpoints, Structured Credit Products, Structured Products
By Shreekant Daga, CAIA, CFA, FRM What is structured finance? Finance has several theoretical traditional and modern frameworks in practice. Needless to say, often the frameworks have conflicting assumptions. The sub-prime mortgage crisis is a modern classic example. Data-reliant credit rating agencies (CRAs) had not seen such a large drawdownRead More
Introduction to Insurance-Linked Securities
Oct 5th, 2020 | Filed under: Newly Added, Credit Derivatives, Structured Credit Products, Structured Products, Other Topics in A.I.
By Chin Liu, Director of Insurance Linked Securities and Quantitative Research, Portfolio Manager; Campbell Brown, Portfolio Manager; and Joe Morgart, Client Portfolio Manager, at Amundi Pioneer Insurance-linked securities (ILS) is an alternative asset class offering investors the potential for attractive risk-adjusted returns and desirable diversification1 benefits. This overview describes aRead More
A CLO-ser look at structured products
Jul 12th, 2020 | Filed under: Derivatives, Newly Added, Credit Derivatives, Structured Credit Products, Structured Products
By Robert Hoffman, Managing Director, Investment Research and Kara O’Halloran, Associate, Investment Research, FS Investments Structured products are no stranger to the limelight. Once only garnering interest from niche Wall Street trading floors, collateralized debt obligations (CDOs) and mortgage-backed securities (MBS) have become household names, as these products were cited asRead More
CRE Debt & the Downturn: What’s Next?
Jun 23rd, 2020 | Filed under: Derivatives, Newly Added, Credit Derivatives, Alternative Investments in Context, Structured Products, Other Topics in A.I.By Matt Malone, Managing Director, Real Estate and Andrew Korz, Associate, Investment Research, FS Investments As the COVID-19 pandemic has swept across the world, it has become clear that the necessary steps being taken by governments to protect human life have thrust the global economy into a recession. In theRead More
The Perils of Late-Cycle Investing
Feb 11th, 2020 | Filed under: Hedge Fund Industry Trends, Private Equity, Debt Types of Private Equity, Newly Added, Equity Types of Private Equity, Credit Derivatives, Other Issues in Private Investments, Alternative Investments in Context, The A.I. Industry, Structured Credit Products, Hedge Funds, Private Investments, Structured ProductsIt is widely believed that much of the world is now experiencing the late stages of a bull market. There will be a downturn because no tree grows to the sky. Forecasting the nature and severity of the coming downturn is tricky, but perhaps that is not the right question.Read More
Greenfields and Brownfields: Asian Investors Backing Infrastructure Investments
Dec 22nd, 2019 | Filed under: Infrastructure, Debt Types of Private Equity, Newly Added, Credit Derivatives, Other Issues in Private Investments, Operationally Intensive Real Assets, The A.I. Industry, Structured Credit Products, Private Investments, Real Assets, Structured ProductsThe Asian Infrastructure Investment Bank has taken a 30% stake in Bayfront Infrastructure Management. Clifford Capital, with the backing of the government of Singapore, has the other 70%. They have created Bayfront (with a combined capitalization of $180 million) to mobilize a pool of infrastructure investors in the expectation thatRead More
Interest Rate Derivatives, Announcements and HFT: It’s All About Timing
May 23rd, 2019 | Filed under: Algorithmic and high-frequency trading, Newly Added, Credit Derivatives, The A.I. Industry, Structured Credit Products, Structured ProductsThree scholars associated with the University of Wollogong, Australia, recently published a paper on the contribution of high-frequency traders to the absorption of new information by the markets, especially in relation to the prices of interest rate derivatives. The study is the work of Alex Frino, Michael Garcia, and IvyRead More
Caveat Emptor: Leveraged Loans and the Credit Cycle
May 19th, 2019 | Filed under: Debt Types of Private Equity, Newly Added, Credit Derivatives, The A.I. Industry, Hedge Funds, Private Investments, Structured ProductsAllianceBernstein, the Nashville-based, asset management firm released a white paper on high-yield bank loans. Buying these loans seems, to some investors, a fix for the ongoing low-interest-rate environment. But the white paper is a warning. In two words, “buyer beware.” The paper is the work of Douglas J. Peebles andRead More
Corporate Distress and Its Derivatives
Mar 31st, 2019 | Filed under: Derivatives, CDO Structuring and Credit RIsk, Newly Added, Event-Driven Hedge Funds, Credit Derivatives, The A.I. Industry, Structured Credit Products, Hedge Funds, Structured ProductsHenry 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: Derivatives, Newly Added, Credit Derivatives, Economics, The A.I. Industry, Macroeconomics, Structured Products, Finance & EconomicsGiven 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: Derivatives, Newly Added, Credit Derivatives, Equity-linked Structured Products, The A.I. Industry, Structured Credit Products, Structured Products, Finance & EconomicsThree 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: Derivatives, Newly Added, Risk management, Credit Derivatives, The Global Economy & Currencies, Economics, The A.I. Industry, Institutional Asset Management, Risk Management Strategies & Processes, Hedge Funds, Commodities, Risk Management & OperationsA 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 & OperationsThere 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, Asset allocation, Regulatory Environment, Credit Derivatives, Asset Allocation Models, The A.I. Industry, 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