Credit investors seek price for illiquidity
As Creditflux begins tracking funds by redemption terms, Jon Close finds that lower liquidity does not always correlate with greater returns

Taking the CVA route to valuing CLNs
Credit-linked notes can’t be said to have risk-free collateral any more. Dmitry Pugachevsky suggests pricing them using techniques developed for bank counterparty risk

Re-thinking recovery
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
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

2006 CDO league tables - synthetic CDO volumes explode
Synthetic CDO issuance doubled last year according to Creditflux Data+. The total notional of tranches traded was $450 billion – up from $224 billion in 2005. That rapid growth puts synthetic CDO volumes clearly ahead of the $414 billion of cash CDO issuance last year

Investor profile: Aladdin turns correlation trader
Investor profile: Aladdin turns correlation trader