Results 41 to 50 of about 42,935 (251)
The study on risk avoidance of transaction default based on the herding effect
Systems Science & Control Engineering, 2021 There is a widespread phenomenon of trading goods ordered in advance in the commodity market, and consumers choose to imitate others for security reasons, to form a herd phenomenon of following the trend and following the crowd, this has become an ...
Liang Wu
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Valuation of Credit Derivatives with Multiple Time Scales in the Intensity Model
Journal of Applied Mathematics, 2014 We propose approximate solutions for pricing zero-coupon defaultable bonds, credit default swap rates, and bond options based on the averaging principle of stochastic differential equations.
Beom Jin Kim, Chan Yeol Park, Yong-Ki Ma
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Empirical dynamics of emerging financial markets during the global mortgage crisis
Borsa Istanbul Review, 2015 Focusing on five major emerging markets, I investigate the interactions between credit default swap premiums, foreign exchange rates, local currency government bond spreads, and national stock market returns over the period 4/2/2007 to 8/27/2009 ...
Rahmi Erdem Aktuğ
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Implied Default Barrier in Credit Default Swap Premia [PDF]
SSRN Electronic Journal, 2008 This paper applies the methodology developed by Forte (2008) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time interval (2001-2004), we make two significant contributions to the ...
Francisco Alonso +2 more
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An Analysis of Insider Trading in the Credit Derivatives Market Using the Event Study Methodology
Management and Business Administration. Central Europe, 2013 Purpose: In this paper I investigate the information fl ow between the credit default swap market and the stock market as well as insider trading in the credit default swap market. Methodology: For my analysis I use the event study methodology.
Ewa Wareluk
doaj
A Raroc Valuation Scheme for Loans and Its Application in Loan Origination
Risks, 2020 In this article, a risk-adjusted return on capital (RAROC) valuation scheme for loans is derived. The critical assumption throughout the article is that no market information on a borrower’s credit quality like bond or CDS (Credit Default Swap) spreads ...
Bernd Engelmann, Ha Pham
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Explaining Aggregate Credit Default Swap Spreads
SSRN Electronic Journal, 2011 We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007-2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants.
Bastian Breitenfellner, Niklas Wagner
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An Empirical Comparison of Default Swap Pricing Models [PDF]
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 premiums.
Patrick Houweling, Ton Vorst
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The Relationship Between Geopolitical Risk and Credit Default Swap Premium: Evidence from Turkey*
Ekonomika, 2023 This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium.
Esra Soyu Yıldırım +1 more
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The Determinants of Credit Default Swap Premia [PDF]
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using linear regression.
Ericsson, Jan +2 more
core +3 more sources