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Credit Derivatives

45 white papers and resources

Risk Library hosts a number of Credit Derivative white papers, analyst reports and legal briefings.

Banking & finance update - Australia in focus

This white paper looks at recent events affecting Australia’s banking sector. These include the legal risks associated with debt issuance programmes should a European Union member exit the Union, plus reforms to the Privacy Act 1988 in relation to banking and swap developments.

Rethinking Capital Structure Arbitrage

It is well known that the capital structure arbitrage strategy generated negative Sharpe ratios between 2005-2009. This white paper introduces four new alternative strategies that exploit the information provided by the time-varying price discovery of the equity and credit default swap markets.

Credit Risk Modelling

The importance of accurately modelling and managing credit risk is continuously growing, regulatory changes and evolving risk management practices have led to banks looking a lot more closely at credit risk. This white paper provides an introduction to this challenging topic.