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News > NYSSA’s Derivatives Committee presents - Synthetic CDOs: The Long Unwinding Road - presented by Mark Ferguson of Quantifi |
March 2010 - NYSSA’s Derivatives Committee presents - Synthetic CDOs: The Long Unwinding Road - presented by Mark Ferguson of Quantifi
The synthetic CDO market, particularly the bespoke market, is composed mostly of well-seasoned trades. New issuance has fallen to pretty much zero since 2006, but a large number of trades are still on the books at many investment houses. These trades still need to be tracked and hedged, so a review of the common practices in this regard serves as a starting point for Ferguson’s discussion.
The standard approaches expose yet more weaknesses in the base correlation/Gaussian copula framework that remains the popular choice for understanding the value and risks of these trades. In particular, short-dated (i.e. near to maturity) deals pose a significant set of problems that need to be addressed. Ferguson will cover:
- Standard "Best Practice"
- Mapping Bespokes
- The Time Dimension (Duration, Duration, Duration)
The problems that many market participants are facing, or will face in the not-so-distant future, will be highlighted, and some suggestions offered.
For more information, please visit NYSSA |
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Highlights
Quantifi has extended
the functionality of its credit derivative valuation software
to include the ability to price loan credit default swaps (LCDS)
and tranches on LCDS (Synthetic CLOs).
“Rapid growth in the LCDS market created immediate trading
opportunities. Quantifi has responded to our needs for new models
and tools for this market with impressive speed. We have come
to expect this level of responsiveness and commitment from Quantifi”,
said Rizwan Akhter, Structured Credit Portfolio Manager at DiMaio
Ahmad Capital – a New York based alternative investment
management firm.
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