grips-dkf-20110329 (2) - IDS GmbH - Analysis and Reporting Services

More documents

Recommendations

Info

6 Observation 4: Some traditional classifications have no information value - Example: EUR Credit Spread Curves Fin after credit crisis 7% EUR Financial Credit Spread Curves EUR-NONIBERIA-SPREAD-FIN#AA 6% 5% EUR-NONIBERIA-SPREAD-FIN#A EUR-IBERIA-SPREAD-FIN#AA EUR-IBERIA-SPREAD-FIN#A 4% 3% 2% 1% 0% Source GRIPS / Bloomberg 2012 2013 2014 2015 2016 2017 2018 2019 2020 2021 © IDS GmbH – Analysis and Reporting Services 6
7 We can summarize the market observations in two main statements: In the crisis, markets became much more differentiated and ‘issuer specific’ After the crisis the spread levels do not return to the pre-crisis level, but find a new more-or-less stable level. The universe of interest rates becomes much more differentiated and complex As a consequence, valuations based on only a few interest rate curves per currency produce inaccurate pricing and traditional and proxy solutions no longer work © IDS GmbH – Analysis and Reporting Services 7
Page 1 and 2: Thorsten Becker Getting a GRIPS Glo
Page 3 and 4: 3 Observation 1: Markets become mor
Page 5: 5 Observation 3: The EUR Crisis cha
Page 9 and 10: 9 How is Allianz IDS enhancing its
Page 11 and 12: 11 …this all adds up to a complex
Page 13 and 14: 13 In addition to this improvement,
Page 15 and 16: 15 Tullett Prebon Information provi
Page 17 and 18: 17 Conclusion The financial markets
Page 19 and 20: 19 For further information please c

grips-dkf-20110329 (2) - IDS GmbH - Analysis and Reporting Services

You also want an ePaper? Increase the reach of your titles

Delete template?

Save as template?