Benchmark Study Forecasts 70% of Firms Currently Trade Total Return Swaps (TRS); nearly 40% Trade Exotic Options, Rising to 45% by EOY 2009 Bonds between Prime Brokers, Equity Desks and OTC Counterparties to Unwind as Market Forces Encourage Wider Distribution of Counterparty Risk
NEW YORK & LONDON, Sep 09, 2008 (BUSINESS WIRE) -- According to
TABB Group in a new industry benchmark study published today, "Equity Swaps and
OTC Options 2008: A Buy-side Perspective," nearly two-thirds of the asset
managers interviewed at buy-side firms in the U.S. trading an aggregate of $6.35
trillion dollars of assets under management (AuM) say that the continuing credit
crisis is having a significant impact on their trading of over-the-counter (OTC)
derivatives. As many as 57% claim the leading impact of the credit crisis is an
increased focus on counterparty risk.
Over the past 10 years, the demographics covering investment firms
with equity derivatives positions ... more »
Quantifi Announces New Correlated Recovery Model for CDO Pricing
by
Sean Sprackling
on Wed 10 Sep 2008 14:30 BST
Press release - 10 September 2008
Quantifi,
a leading provider of analytics and risk management solutions to the
global credit markets, has extended the functionality of its credit
derivative valuation software to include a new correlated recovery
model allowing calibration to a wider range of tranche prices than the
traditional one-factor Gaussian copula model.
Recent market turmoil has led to significant challenges for the pricing and risk management of synthetic CDOs. Widening and more volatile spreads have caused some simple Gaussian copula models to fail, leaving market participants unable to price or hedge accurately.
In response to this market need, Quantifi has developed a new model for pricing CDOs called the Quantifi Correlated Recovery model (QCR) which extends the one-factor Gaussian copula model to incorporate more realistic treatment of recovery in the event of default.
The QCR model allows participants to calibrate and price even during periods of extreme market ... more »
Recent market turmoil has led to significant challenges for the pricing and risk management of synthetic CDOs. Widening and more volatile spreads have caused some simple Gaussian copula models to fail, leaving market participants unable to price or hedge accurately.
In response to this market need, Quantifi has developed a new model for pricing CDOs called the Quantifi Correlated Recovery model (QCR) which extends the one-factor Gaussian copula model to incorporate more realistic treatment of recovery in the event of default.
The QCR model allows participants to calibrate and price even during periods of extreme market ... more »
CMA Release Research on Cumulative Probability of Default Calculations
by
Sean Sprackling
on Wed 10 Sep 2008 14:28 BST
