Results 91 to 100 of about 65,859 (324)
Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]
PanoeconomicusThis study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet +2 more
doaj +1 more source
Optimisation of an FPGA Credit Default Swap engine by embracing dataflow\n techniques [PDF]
, 2021 Nick Brown +2 more
openalex +1 more source
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model [PDF]
We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing
Damiano Brigo, Naoufel El-Bachir
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An Empirical Comparison of Default Swap Pricing Models [PDF]
, 2001 : In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap ...
Houweling, P. (Patrick) +1 more
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Insect Science, EarlyView.Strict patterns of co‐divergence have rarely been documented other than among organisms and their symbionts. In this paper, using a molecular approach, we inferr the population‐level phylogenies of a Mediterranean ant species Pheidole pallidula and its nest parasite, the obligate myrmecophilous beetle Paussus favieri. We then investigate the role of co‐
Davide Bergamaschi +2 more
wiley +1 more source
Team photo‐diaries: Making places, people, and power more visible
Geographical Research, EarlyView.The article reflects on the use of research associates‐generated photo‐diaries during household census data collection in Northwest Cambodia. Initially a training tool for Cambodian researchers, they became essential for data collection and collaboration between Cambodian and Australian teams, highlighting ethical challenges and power imbalances in ...
Ariane Utomo +18 more
wiley +1 more source
Local economic resilience and economic specialization in Greece during the crisis
Regional Science Policy &Practice, EarlyView., 2023 Abstract This paper scrutinizes the issue of economic resilience, aiming to detect the existence of a systematic link with economic specialization. To this end, the paper conducts an empirical analysis at the local (i.e., municipal) level of Greece during the economic crisis period (2009–2015), providing cartographic visualizations and spatial ...
Panagiotis Artelaris +2 more
wiley +1 more source
Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
doaj +1 more source
The pricing of risk in European credit and corporate bond markets [PDF]
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation ...
Berndt, Antje, Obreja, Iulian
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Credit Risk and the Yen Interest Rate Swap Market [PDF]
, 2001 In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for di erent maturities and analyze the ...
Eom, Young Ho +2 more
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