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Making it to the top: women reflect on changes in the CLO industry
6 years ago
As a growing number of women break the glass ceiling and take senior positions in CLO firms, Creditflux asked about the opportunities and challenges they face. By Michelle D’Souza -
Genesis of a CLO desk
6 years ago
On the 10-year anniversary of Genesis CDO I, Creditflux analyses the development of Deutsche Bank’s structured credit desk. By Hugh Minch -
Trading ideas for volatile times
8 years ago
Turmoil in the credit markets last month prompted a wide range of views and recommendations. Here is our pick of the most eye-catching research -
From Suez to CLOs
9 years ago
Indosuez Capital blazed a trail in CLOs and its ex-staff are now pivotal players across the industry -
Putting low rates under a microscope
9 years ago
Cho-Hoi Hui suggests using a double square-root process with a non-linear drift term to capture recent near-zero interest rates more accurately when pricing corporate bonds -
Taking coupons into account
9 years ago
Sara Cecchetti and Antonio Di Cesare show that bond yields and spreads are not good indicators of default risk – and that coupon rate is an important driver of the yield curve -
Unstirring cocos
10 years ago
Separating credit risk from the probability of conversion is the key to pricing cocos, argue Damiano Brigo, João Garcia and Nicola Pede -
Indian banks: Bond holders face bumpy ride
10 years ago
India's sickly state-owned banks – which are widely owned by international credit investors – could soon be downgraded to junk -
Credit default swaps stop fire sales
10 years ago
Companies with credit default swaps have more liquid bonds and tighter spreads than those that don’t because investors can hold their bonds after a downgrade -
Gone but not forgotten
10 years ago
ACA Capital’s spectacular collapse heralded the demise of the monoline business and scattered its employees into jobs right across the credit space -
The growing Swiss network
10 years ago
Defunct investment banks such as Lehman Brothers are not the only ones with a healthy diaspora of credit traders. UBS has a wide network of ex-colleagues. -
Her Majesty’s secret CLO desk
11 years ago
They don’t know it, but through their ownership of nationalised RBS, UK taxpayers may hold the world’s biggest portfolio of CLO paper. Sayed Kadiri analyses RBS’s Stamford-based CLO business -
Oh Brothers, where art thou?
11 years ago
Lehman Brothers’ collapse scattered one of the best regarded structured credit teams in the business around the investment banks and hedge funds of the world -
All your CDS models are wrong
11 years ago
It is a common belief that it is simple to extract implied default probabilities from CDS spreads. But, argues Robert Jarrow, the conventional methods are drastically flawed -
Mined in Paris. Forged in London
11 years ago
In Paris, an exclusive university has built a web of well educated and well connected credit traders, sales people and structurers who now circle the financial world -
Taking Merton to the extremes
11 years ago
The most widely used credit risk model fails in a financial crisis. David Allen, Akhmad Kramadibrata, Robert Powell and Abhay Kumar Singh show how it can be improved -
Measuring the bullet-proofing
11 years ago
How many defaults would it take to cause losses to CLO tranches? -
Re-thinking recovery
12 years ago
Loss-given-default presents an even bigger modelling challenge than default probability. A re-sampling casts light on the best approach -
Credit spotlight: Still loving it
12 years ago
Leverage is high but the fast food sector is doing well even as consumer spending falls – so it’s no surprise that credit investors are tucking into large portions -
Stress testing your cocos
12 years ago
Joao Garcia and Nicola Pede look at how to value cocos and argue that the valuation model should cater for related equities and CDS being stressed by a systemic event -
In defence of the Gaussian copula
12 years ago
It’s been called the model that killed Wall Street, but Jean-David Fermanian argues that the structured credit market’s Gaussian copula model has been unfairly maligned -
Apidos - Credit’s true believers
13 years ago
Few CLO managers can boast they have never failed an OC test. Apidos can, and it wants the world to know about its track record -
Spotlight on yellow pages - Find us under struggling businesses
13 years ago
Burdened with massive debts, battered by recession and losing advertisers to cheaper internet rivals, yellow pages companies are facing an unequal struggle to survive -
The prudent choice
14 years ago
Managers at Pramerica Fixed Income (which is called Prudential outside the UK) believe it has the scale and track record needed to secure replacement mandates -
Sticking to first principles
14 years ago
When other credit hedge funds went long and levered, Brownstone Asset Management prospered by doing what a hedge fund should do.
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