-
With the extraordinary growth of the rated credit derivatives market, credit derivative product companies have stepped in to fill a need for highly rated counterparties that sell credit protection.
-
The use of derivative securities for hedging and alpha-enhancement is widespread in investment markets globally.
-
In last week's Learning Curve, we showed how measures derived from historic spot could be used via regression to produce a fair-value measure for the one-month volatility.
-
A fair-value measure of implied volatility would be an invaluable tool in the fx options market.
-
Following on from last week's discussion of the impact of Standard & Poor's new synthetic collateralized debt obligations ratings model, S&P describes the workings of the model itself.
-
Standard & Poor's changes to its collateralized debt obligation rating methodology, primarily in the form of lower assumed default rates for investment grade assets rated A and above, are significant and will have a large impact on the CDO market.
-
A passport option gives the holder a zero-strike call option on the value of a trading account.
-
There has been a dramatic increase in the liquidity of index credit and equity volatility products over the past two years.
-
The complex security design of collateralized debt obligations is arranged and administered like a managed fund, allowing issuers to refinance the purchase of debt instruments by repackaging them into different slices of risk and maturity.
-
As popular as synthetic collateralized debt obligations have become, modeling and pricing these securities continues to provide a number of unique challenges.