Results 31 to 40 of about 66,578 (384)
On pricing basket credit default swaps [PDF]
Quantitative Finance, 2013 In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients ...
Ching, WK, GU, J, Siu, T, Zheng, H
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, 2008 In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the
Gikhman, Ilya
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CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2015 In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS.
O. Solodka
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The Impact of Credit Default Swap Trading on Loan Syndication [PDF]
, 2015 Daniel Streitz
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The Leverage Externalities of Credit Default Swaps [PDF]
SSRN Electronic Journal, 2013 This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo tests, and the selection of customers by suppliers.
Tang, DY, Li, JY
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Вісник Харківського національного університету імені В.Н. Каразіна: Серія Міжнародні відносини, економіка, країнознавство, туризм, 2019 The article investigates the state of the Eurozone countries’ financial security in the context of the world economic environment globalization. For the purpose of this, financial security is considered in terms of institutional, instrumental, and ...
Nataliia Goncharenko +3 more
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In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then
Gikhman, Ilya
core +7 more sources
Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities
Journal of Applied Mathematics, 2011 We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the
Anjiao Wang, Zhongxing Ye
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Complexity, 2020 The rapid development of credit default swap (CDS) market has changed the manner of credit risk management of banks to some extent and has had a new influence on the bank-enterprise credit model. In this study, the credit financing process of credit risk
Shenghong Wu +3 more
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Complexity, 2023 Previous studies focused on the fundamental channels of the interaction between the equity market and credit default swap (CDS) market. This paper finds another channel, investor sentiment, that contributes to the impact of the equity market on the CDS ...
Weifang Mao +4 more
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