Who Invented Bankruptcy Futures ?
Enron.They called their thing “bankruptcy swaps”,a digital CDS triggered by default or filing for protection from creditors.Just like the CME “credit event futures” just approved by the CFTC.
The market didn’t prove popular.
Our challenge for the next few months is to build an automated system to provide differential pricing on thousands of credits [5,000 by year-end]. Most of these credits will be illiquid in terms of market price information, making the challenge harder, and the end result more important in terms of competitive pricing advantage. What we need is an overall strategy for how we plan to achieve this from the quantitative perspective.
The plan:
{1}Pricing credit on thousands of names Sent: 19/06/2000 at 11:11
{2}Re:Pricing credit on thousands of names Sent: 19/06/2000 at 14:52