Results 91 to 100 of about 5,830,336 (226)
Profit and Risk under Subprime Mortgage Securitization
Discrete Dynamics in Nature and Society, 2011 We investigate the securitization of subprime residential mortgage loans into structured products such as subprime residential mortgage-backed securities (RMBSs) and collateralized debt obligations (CDOs).
M. A. Petersen +4 more
doaj +1 more source
Fading Attention and the Pricing of Default Risk in the German Market for Structured Products
Journal of Futures Markets, Volume 46, Issue 10, Page 1787-1808, October 2026.ABSTRACT Structured retail products are unsecured bonds subject to the default risk of the issuer. We analyze the price‐setting policy of issuers with respect to this default risk. Using a long‐term data set of discount certificates in the German market, we apply a time series IVX‐approach to find that (i) quoted prices do depend on issuer default risk,
Rainer Baule, Falk Jensen
wiley +1 more source
CVA calculation for CDS on super senior ABS CDO [PDF]
The way monoline insurers estimate the FAS 157 credit value adjustments (CVA) on their ABS CDO insurance portfolios vastly overstates the benefits. We propose a simple method that is more accurate, especially when the counterparty default risk is high ...
Li, Hui
core
SystemsFirms are embedded in transaction systems whose organization can generate both coordination benefits and relational exposure. Using disclosed related-party transactions (RPTs), we construct annual weighted bipartite networks for 2674 Chinese A-share ...
Jiawei Xu, Haohua Li
doaj +1 more source
Credit Valuation Adjustment Compression by Genetic Optimization
Risks, 2019 Since the 2008−2009 financial crisis, banks have introduced a family of X-valuation adjustments (XVAs) to quantify the cost of counterparty risk and of its capital and funding implications.
Marc Chataigner, Stéphane Crépey
doaj +1 more source
Business Ethics, the Environment &Responsibility, Volume 35, Issue 4, Page 3433-3447, October 2026.ABSTRACT Can AI‐driven capitalism sustain the moral preconditions of market order? We stage a dialogue between Adam Smith and a steel‐manned “EconAI” to test four Moral‐Market‐Fitness criteria: trustworthiness, fairness, non‐domination, and contestability, across 11 dilemmas.
Alexandra‐Codruța Bîzoi +1 more
wiley +1 more source
CDS as Insurance: Leaky Lifeboats in Stormy Seas [PDF]
In this paper we update the traditional insurance economics framework to incorporate key features of the credit default swap (CDS) market. First, we allow for insurer insolvency, with asymmetric information as to its probability.
Stephens, Eric, Thompson, James
core
A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio [PDF]
In this work we analyze the effects of credit contagion on the credit quality of a portfolio of bank loans issued to SMEs. To this aim we start from the discrete time model proposed in Barro and Basso (2005), that considers the counterparty risk ...
Antonella Basso, Riccardo Gusso
core
Sovereign risk and the pricing of corporate credit default swaps
, 2015 Investigation about the impact of sovereign risk on the pricing of corporate credit ...
Westerfeld, Simone +2 more
core +1 more source
Credit Risk in a Network Economy [PDF]
We develop a structural model of credit risk in a network economy. In particular, we are able to account for complex counterparty relationships,where one company may be indirectly affected by the credit risk of another company in the network.
Henry Schellhorn, Didier Cossin
core