Price Calibration of basket default swap: Evidence from Japanese market [PDF]
The aim of this paper is the price calibration of basket default swap from Japanese market data. The value of this instruments depend on the number of factors including credit rating of the obligors in the basket, recovery rates, intensity of default ...
Fathi, Abid, Nader, Naifar
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A Market for End-of-The-World Insurance? Credit Default Swaps on US Government Debt [PDF]
, 2012 Richard Squire
openalex
The cost of counterparty risk and collateralization in longevity swaps [PDF]
Derivative longevity risk solutions, such as bespoke and indexed longevity swaps, allow pension schemes and annuity providers to swap out longevity risk, but introduce counterparty credit risk, which can be mitigated if not fully eliminated by ...
Biffis, Enrico +3 more
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Systemic Risk Management in Financial Networks with Credit Default Swaps
, 2016 Mathieu V. Leduc +2 more
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Synthetic securitization in the accounting: the peculiarities and the national experienc
Vìsnik Žitomirsʹkogo Deržavnogo Tehnologìčnogo Unìversitetu: Ekonomìčnì Nauki, 2015 In the dynamic development of the financial market and the economy as a whole is one of the Securitisation innovative tools to attract additional funding, increased liquidity, diversification of assets and minimize risks in financial markets.
O.P. Driga
doaj
The international spill over effect of American economy on China's macro-economy based on MCMC-Gibbs sampling algorithm. [PDF]
PLoS One, 2023 Hu J.
europepmc +1 more source
Market Evaluations of Banking Fragility in Japan: Japan Premium, Stock Prices, and Credit Derivatives [PDF]
This paper investigates movements of market indicators of banking fragility, namely, Japan premium, stock prices, and credit derivative spreads of Japanese banks.
Kimie Harada, Takatoshi Ito
core
Euro area sovereign bond risk premia before and during the Covid-19 pandemic. [PDF]
Eur Econ Rev, 2023 Corradin S, Schwaab B.
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A Unified Framework for Pricing Credit and Equity Derivatives
, 2008 We propose a model which can be jointly calibrated to the corporate bond term structure and equity option volatility surface of the same company. Our purpose is to obtain explicit bond and equity option pricing formulas that can be calibrated to find a ...
Bayraktar, Erhan, Yang, Bo
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How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads
, 2009 Barry Eichengreen +3 more
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