Results 91 to 100 of about 42,935 (251)

Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm. [PDF]

Comput Econ, 2022
Alsayed ARM.
europepmc   +1 more source

Credit risk tools: an overview [PDF]

This document presents several Credit Risk tools which have been developed for the Credit Derivatives Risk Management. The models used in this context are suitable for the pricing, sensitivity/scenario analysis and the derivation of risk measures for ...
Esposito, Francesco Paolo
core   +1 more source

Restructuring Risk in Credit Default Swaps: An Empirical Analysis [PDF]

This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk ...
Antje Berndt, ChoongOh Kang, Robert Jarrow   +2 more
core  

A unified approach to credit default swaption and constant maturity credit default swap valuation [PDF]

, 2022
Martin Krekel, Jörg Wenzel
openalex   +1 more source

Informationally advantaged lenders and the credit derivative market: Evidence from Loan only Credit Default Swap (LCDX)

Applied Finance Letters
This paper explores the informational role of the Loan Only Credit Default Index (LCDX) on the pricing of syndicated loans. Despite an extensive body of research on credit indices and loan pricing, limited studies have comprehensively assessed the ...
Zagdbazar Davaadorj, Jorge Brusa
doaj   +1 more source

Analyse av CDS-basisen i det norske markedet : et uutforsket marked med arbitrasjemuligheter? [PDF]

, 2009
Denne masterutredningen tar utgangspunkt i teorien om ingen arbitrasje, og beskriver sammenhengen mellom produktene credit default swap og asset swap. Kredittderivatene reflekterer begge kredittrisiko, og skal derfor i teorien prises likt.
Eliston, Joe, Lundeby, Morten Gran
core  

Credit Default Swap Model

, 2019
This article presents a model for valuing a credit default swap (CDS) contract that is affected by the credit risks of the buyer, seller and reference entity. Many people in market believe that, if a CDS is fully collateralized, there is no risk of failure to pay.
openaire   +2 more sources

Sovereign default network and currency risk premia. [PDF]

Financ Innov, 2023
Yang L, Yang L, Cui X.
europepmc   +1 more source

Pricing and trading credit default swaps in a hazard process model [PDF]

, 2008
Tomasz R. Bielecki, Monique Jeanblanc, Marek Rutkowski   +2 more
openalex   +1 more source

The Relationship between Credit Default Swaps and Net Portfolio Investments: The Case of Turkey [PDF]

, 2021
Mehmet Nar
openalex   +1 more source