Results 111 to 120 of about 31,402 (210)
Pricing Credit Default Swaps Under Default Correlations and Counterparty Risk [PDF]
In this paper, we develop a generalized affine model to characterize correlated credit risk of multi-firms. When valuing credit derivatives, this new approach allows to incorporate correlative market and credit risk, interdependent default risk structure
Damir Filipovic, Li Chen
core
Credit Calibration with Structural Models: The Lehman case and Equity Swaps under Counterparty Risk [PDF]
, 2009 Damiano Brigo +2 more
openalex +1 more source
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
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
The Emergence and Future of Central Counterparties [PDF]
We study the role of a central counterparty (CCP) in controlling counterparty risk. When trading is organized via a centralized exchange with fungible contracts -- as in a futures market -- we show that it is optimal to clear trades via a CCP that uses ...
Cyril Monnet, Thorsten V. Koeppl
core
"A Simple Proposal to Resolve the Disruption of Counterparty Risk In Short-Term Credit Markets" [PDF]
The impaired risk assessment caused by the collapse of mortgage-backed securities is the major problem threatening the stability of the American financial system, yet it is not clear that removing these assets from institutional balance sheets, as the ...
Jan Kregel
core
Credit derivatives: just-in-time provisioning for loan losses [PDF]
Credit derivative contracts offer a new route for managing counterparty exposures. This article discusses two formats of these contracts. The contracts have potential for providing portfolio managers with a cost effective, just-in-time source of ...
James T. Moser
core
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 +1 more source
Counterparty Risk Valuation for Energy-Commodities Swaps: Impact of Volatilities and Correlation
, 2008 Damiano Brigo +2 more
openalex +1 more source