Index
accounting
accrued interest, CDSs
actuarial pricing see historical pricing
Advanced Internally Ratings-based (A-IRB) approach, credit risk
AIG bailout
A-IRB see Advanced Internally Ratings-based approach
apex correlation
arbitrage
CDOs
CDSs
Archimedean Copulas
assets
see also asset swaps cashflow CDOs
correlation
securitisations
warehousing
asset swaps
bond spread model
callable
default of reference name
‘par-par’ contracts
‘perfect’
spreads
auctions
average baskets
back-to-back CDOs
back-to-back CDSs
Baker, Robert
balance sheet CDOs
bank guarantees
bankruptcy swaps
banks
accounting changes
asset warehousing
credit crisis 2007
disintermediation
leveraged loans
motivation
risk issues
unsold positions
base correlation
apex correlation
fair premiums
implied
interpolation
key features
valuation
Baselregulations
basis
baskets
average
F2D
N2D
nth-to-default
BBA see British Bankers’ Association
bid-offer
impact on correlation
reserves
Big Bang Protocol
binomial correlation
Black-Scholes model
bonds
bullet
callable
CDSs
basis trading
hedging
valuation
convertible
credit
floating rate
liquidity
Markit indices
par
price options
puttable
risk-free
spread model
wrapped
zero coupon
book basis hedging
British Bankers’ Association (BBA)
buckets
bullet bonds
bump sensitivities
callable asset swaps
callable bonds
callable default swaps
Calypso
capital
guaranteed notes
ounterparty risk
regulatory reduction
captured risk
cashflow CDOs
see also collateralised debt obligations assets
CMBS/RMBS ...
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