The author wishes to thank his colleague, Managing Director for Research Prof. Robert A. Jarrow, for twenty years of guidance...
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Municipal Credit Default Swap Trading Volume, 2010 to 2014
The bankruptcy of Detroit brings new pressure on municipal bond investors and related exchange-traded funds like (HYD) (NUV)...
MBIA and Bank of America Lead U.S. Bank Credit Default Swap Trading Volume, 2010-2014
A number of authors have suggested that credit default swap pricing be used as a basis for setting deposit insurance premiums...
Banco Santander, S.A. Tops International Bank Credit Default Swap Trading Volume, 2010 to 2014
We previously analyzed the trading volume of credit default swaps on international bank reference names on July 14, 2014 for the...
J. C. Penney Leads Non-Bank Corporate Credit Default Swap Trading Volume, 2010 to 2014
This analysis is the third in a series analyzing the trading volume in single name credit default swaps for the 233 weeks ended...
Sovereign Credit Default Swaps and the European Commission Short Sale Ban, 2010-2014
Trading volume in the bond and credit default swap markets, particularly the sovereign credit default swap market, is one of the...
CDS Trading Volume for 1,239 Reference Names From 2010 to 2014
In this report, we update the semi-annual Kamakura Corporation analysis of trading volume in single name credit default swaps as...
Trends in Sovereign Credit Risk Assessment
The Asian Institute of Chartered Bankers has just published “A Best Practice Approach to Modeling Sovereign Defaults” in the...
The Fed’s CCAR Stress Testing: Big Banks and the Severely Adverse Scenario
The Federal Reserve’s 2015 Comprehensive Capital Analysis and Review stress testing exercise is moving toward its conclusion,...
American Express Leads Best Value Long Term Bond Trades
We last ranked the best value fixed rate corporate bond issues on October 17, 2014 for maturities of 20 years or more. Today we...
Stress Testing: The Use and Abuse of Lagged Default Probabilities in “Forbidden” Credit Models
As the Federal Reserve’s 2015 Comprehensive Capital Analysis and Review stress testing exercise moves to its conclusion, a...
Stress Testing: The Use and Abuse of “Intuitive Signs” on Credit Model Coefficients
In the past week, I have spoken with many regulators and bankers on the proper role of intuition in the econometric estimation...