Results 181 to 190 of about 65,859 (324)
Proxying credit curves via Wasserstein distances. [PDF]
Ann Oper Res, 2022 Michielon M, Khedher A, Spreij P.
europepmc +1 more source
Credit default swaps and financial stability [PDF]
Credit default swaps (CDSs), initially intended as instruments for hedging and managing credit risk, have been pinpointed during the recent crisis as being detrimental to financial stability.
Cont, R.
core
Pricing and Hedging of SOFR Derivatives
Mathematical Finance, EarlyView.ABSTRACT The London Interbank Offered Rate (LIBOR) has served since the 1970s as a fundamental measure for floating term rates across multiple currencies and maturities. However, in 2017, the Financial Conduct Authority announced the discontinuation of LIBOR from the end of 2021, and the New York Fed declared the Treasury repo financing rate, called ...
Matthew Bickersteth +2 more
wiley +1 more source
Real-time extended psychophysiological analysis of financial risk processing. [PDF]
PLoS One, 2022 Singh M +5 more
europepmc +1 more source
Financial decisions involving credit default swaps over the business cycle
, 2020 Liu Gan, Zhaojun Yang
openalex +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
Nonlinear Dependence Structure Between BRICS Stock Markets, Gold, and Cryptocurrencies
The Manchester School, EarlyView.ABSTRACT This study aims to conduct an in‐depth analysis of the complex nonlinear dependence relationships between cryptocurrencies and gold within the stocks of BRICS countries. The study employs a GARCH‐EVT‐Vine‐Copula and wavelet coherence models to evaluate the interconnectedness, tail risk and Co‐movement pattern of these assets before and after ...
Jiale Yan
wiley +1 more source
Constructing Country‐Specific Debt Indices for Developing Countries
Review of Development Economics, EarlyView.ABSTRACT Contemporary crises continue to keep governments in protracted periods of borrowing, increasing the stock and flow of sovereign indebtedness. Especially for developing economies and small states, singular metrics of public debt such as the debt‐to‐GDP ratio may not reflect the country's true debt position.
Akeem Rahaman, Scott Mark Romeo Mahadeo
wiley +1 more source