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Municipal Market CDS –♪ Somebody call 9-1-1…Fire burning in the muni market ♬...
Part 3: The Swaps is continued from Part 2: The Problems The CDS reaction According to Otis Casey at Markit in a DerivativesWeek report (before news of the Harrisburg state bailout was known), “Some...
View ArticleWhat kind of swaps does Pimco like?
Think credit default swaps are just the domain of an exclusive set of New York and London hedge funds? Think again. CDS have even entered Newport Beach, California in the public discourse of one of the...
View ArticleChina officially begins trading credit risk mitigation tools
It is official. After years and months of preparation and speculation, China has officially introduced their own version of credit default swaps to the domestic market and fulfilled a promise/goal of...
View ArticleAnalysis: What happened to Pershing Square’s BP swaps
An analysis of Pershing Square’s BP CDS trade and BP’s latest financials. Pershing Square’s latest third quarter investment letter covered a number of past, present and future investments – with one...
View ArticleCredit default swaps on companies without debt
A couple recent reports in the WSJ and Bloomberg shed light on an interesting aspect of the credit default swap markets: CDS on companies without public debt. GAP WSJ highlights the case of major...
View ArticleBootstrapping Credit Default Swap Data
Here is a sample site from Wolfram Mathematica demonstrating their method of bootstrapping CDS index data. Taken from the site: Bootstrapping is a resampling method that has a wide variety of...
View ArticleChina’s Financial Asset Exchanges to add liquidity
China has made great strides in its efforts to modernize its financial markets over the past few months. Beginning with the creation of National Association of Financial Market Institutional Investors...
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Template for Contingent CDS being written
Now that financial – and particularly credit – markets have somewhat “normalized” with spreads having tightened in from their 2008-9 highs, financial engineers can re-focus their time to creating new...
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Do CDS spreads lead corporate bankruptcies?
Fitch recently completed a small study entitled “CDS Spreads and Default Risk: A Leading Indicator?” investigating whether default probabilities implied by credit default swap spreads serve as a good...
View ArticleWhen sharing risk actually increases risk
Based on the statements provided, (d) Bankers do not like to share good things and will only share bad things follows. The premises are positive and universal (logically speaking. No actual...
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