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Another day, another article demonizing CDS

November 28, 2009

Bloomberg has a new article up about how the CDS market is starting to crumble - the sort of piece that looks like it's been sitting on a back burner waiting for an excuse to stoke the flames of derivative fear (thanks, Dubai!). One of the article's chief arguments is that "credit-default swaps tied to Thomson […]

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Deconstructing the Gaussian copula, part I

June 5, 2009

A number of misconceptions about the Gaussian copula are addressed.

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Negative swap spreads

June 2, 2009

Felix Salmon writes about the negative swap spread - a fascinating turn of events. Or at least, it was when the swap spread went negative almost a year ago. The swap spread is the extra amount that an interest rate swap yields over a similar Treasury bond. Typically, a swap yields a few basis points […]

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FRN's & negative duration

April 16, 2009

Floating rate notes (FRN's) can exhibit a curious property called negative duration.

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