Results 11 to 20 of about 65,859 (324)
Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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Dynamics in the Predictability of Credit Default Swap Spreads of EU Companies
Complexity, 2023 The COVID-19 pandemic affected financial instruments and markets all around the world. Credit default swap contracts of EU companies were analysed in this paper.
Kirill Romanyuk +3 more
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Impact of the COVID-19 Pandemic on the US Credit Default Swap Market
Complexity, 2021 The COVID-19 pandemic affected the US economy at different levels. Since credit default swaps can be viewed as a default probability indicator, the article shows the credit default swap market perspective on how the US economy was hit by the pandemic ...
Kirill Romanyuk
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Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic
İzmir İktisat Dergisi, 2022 This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model,
Volkan Kaymaz, Özlem Yılmaz
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What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?
Journal of Risk and Financial Management, 2020 This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain.
Nader Naifar
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A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads
Central Bank Review, 2021 The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies,
Doruk Küçüksaraç +3 more
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Basket Credit Default Swap Pricing with Two Defaultable Counterparties
Discrete Dynamics in Nature and Society, 2022 In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of
Yu Chen, Yu Xing
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Prizren Social Science Journal, 2018 Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country.
Ahmet KAHILOGULLARI
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Istanbul Business Research, 2022 This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey.
Sabri Burak Arzova +1 more
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Credit Derivatives Pricing Models [PDF]
Problemi EkonomikiDerivatives play an important role in the processes that take place in the global economy and economic growth. They are critical for hedging risks in the banking sector, managing the interest rate in the activities of pension funds, satisfying insurance ...
Viadrova Inna M. +2 more
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