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Implied correlations of iTraxx tranches during the financial crisis [PDF]

, 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of systematic credit risk of STCDOs.
Heidorn, Thomas, Kahlert, Dennis
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Crisis convulsiva y esclerosis múltiple: correlación anatomoclínica

Revista de Neurología, 1999
The prevalence of epilepsy in multiple sclerosis (MS) is low and the occurrence of an epileptic seizure as a first sign of this illness is even more infrequent. The relationship between both these illnesses is not clear; as epilepsy is a common condition, a coincidental association only could exist between the two diseases.To establish a nexus of ...
Ramírez Ja, Cubero A, Navarro B, Murillo Mj, Rodríguez F, Aladro Y, Callicó A, Mompeó B   +7 more
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The correlation structure of FX option markets before and since the financial crisis

Applied Financial Economics, 2010
The liquidity crunch and the ensuing financial crisis have unambiguously affected all national economies and global currency exchange rates. In this article we ask whether the cross-currency correlation structure has changed since 2007. Using an extensive set of volatility surfaces implied from over-the-counter options on 11 different exchange rates ...
Chalamandaris, Georgios, Tsekrekos, Andrianos   +1 more
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Understanding the shift of correlation matrices during financial crisis: A network topology

AIP Conference Proceedings, 2015
Understanding the shift of correlation matrices in any process is not an easy task. From the literatures, the most popular and widely used test for correlation shift is Jennrich's test. This motivates us to use it in this paper. However, if after hypothesis testing the hypothesis of stable process correlation is rejected, then the next problem is to ...
Nur Syahidah Yusoff, Shamshuritawati Sharif   +1 more
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Domain Adaptation for Crisis Data Using Correlation Alignment and Self-Training

International Journal of Information Systems for Crisis Response and Management, 2018
Domain adaptation methods have been introduced for auto-filtering disaster tweets to address the issue of lacking labeled data for an emerging disaster. In this article, the authors present and compare two simple, yet effective approaches for the task of classifying disaster-related tweets.
Hongmin Li, Cornelia Caragea, Oleksandra Sopova, Doina Caragea   +3 more
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Economic Policy Uncertainty, Political Uncertainty and the Greek Economic Crisis

, 2018
We use textual analysis to construct an index of economic policy uncertainty (EPU) for Greece from 1/1998 to 12/2017, similar to other international EPU indices.
Gikas A. Hardouvelis, Georgios Karalas, Dimitrios Karanastasis, P. Samartzis   +3 more
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Credit Models and the Crisis

2012
Preface. Acknowledgements. About the Authors. Notation and List of Symbols. 1 Introduction: Credit Modelling Pre- and In-Crisis. 1.1 Bottom-up models. 1.2 Compound correlation. 1.3 Base correlation. 1.4 Implied Copula. 1.5 Expected Tranche Loss Surface. 1.6 Top (down) framework. 1.7 GPL and GPCL models. 1.8 Structure of the book. 2 Market Quotes.
Brigo, Damiano, Pallavicini, Andrea, Torresetti, Roberto   +2 more
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Fluid-to-fluid modeling and correlation of flow boiling crisis in horizontal tubes

International Journal of Multiphase Flow, 1979
Abstract Parameters for fluid-to-fluid modeling of critical heat flux in horizontal tubes have been obtained using the method of compensated distortion. The fluids used were water and Freon-12. The modeling parameter obtained differs from the one applicable to vertical flow by the addition of a term representing the effects of gravity.
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Conditional dependence in post-crisis markets: dispersion and correlation skew trades

Review of Quantitative Finance and Accounting, 2019
Strengthening of asset return dependence during the 2007–2008 credit crisis highlighted its dynamic and conditional nature. Option prices reflect the market assessment of how dependence between assets varies with price movements and time horizons, yielding the implied correlation surface.
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Detrended correlation coefficients between oil and stock markets: The effect of the 2008 crisis

Physica A: Statistical Mechanics and its Applications, 2019
P. Ferreira, E. Pereira, M. Silva, H. Pereira   +3 more
semanticscholar   +1 more source