Results 51 to 60 of about 42,935 (251)
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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CREDIT DEFAULT SWAPS AND BANK SAFETY
Applied Finance Letters, 2022 In this analysis we find evidence that credit default swap (CDS) purchasesincrease bank safety. Specifically, we show banks which were net buyers ofCDS had smaller increases in loan loss reserves in response to the COVID-19crisis.
Matt Brigida
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Credit Default Swaps networks and systemic risk [PDF]
Scientific Reports, 2014 Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis.
Puliga M., Caldarelli G., Battiston S.
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A Structural Credit Risk Model with Jumps Based on Uncertainty Theory
MathematicsThis study, within the framework of uncertainty theory, employs an uncertain differential equation with jumps to model the asset value process of a company, establishing a structured model of uncertain credit risk that incorporates jumps.
Hong Huang +3 more
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Jurisprudential Analysis of Applying Credit Default Swap and Credit-Linked Note in Credit Risk Management of Banks [PDF]
تحقیقات مالی اسلامی (پیوسته), 2012 Given the importance of credit risk in the banking system, banks have always paid special attention to credit risk management and have used different tools to manage it. Using credit derivatives, especially "credit default swap" and "credit-linked note",
Rasool Khansari +2 more
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Risks, 2017 The paper deals with defaultable markets, one of the main research areas of mathematical finance. It proposes a new approach to the theory of such markets using techniques from the calculus of optional stochastic processes on unusual probability spaces ...
Mohamed N. Abdelghani +1 more
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ECONOMIC GROUNDS FOR CREDIT RISK MANAGEMENT UNDER UNCERTAINTY
Модернизация, инновация, развитие, 2016 This article examines modern financial insurance techniques with the use of credit default swaps for covering bond default risk. The author examines several mathematical models and specifies variables necessary to determine the swap spread depending on ...
N. V. Strelnikov
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1) MULTIDIMENSIONAL SCALING FOR CREDIT DEFAULT SWAP (CDS): EVIDENCE FROM OECD COUNTRIES [PDF]
Buletin ştiinţific: Universitatea din Piteşti. Seria Ştiinţe Economice, 2018 The aim of this study is to analyze the similarities and differences between the OECD countries in terms of the change in CDS risk premiums. Accordingly, CDS risk premiums of the related countries are taken on a monthly basis for the 30/06/2011 - 30/09 ...
Ayhan KAPUSUZOGLU, Nildag Basak CEYLAN
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Procyclicality in tradeable credit risk: Consequences for South Africa
South African Journal of Economic and Management Sciences, 2018 Background: Tradeable credit assets are vulnerable to two varieties of credit risk: default risk (which manifests itself as a binary outcome) and spread risk (which arises as spreads change continuously).
Dirk Visser, Gary W. van Vuuren
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Examining what best explains corporate credit risk: accounting-based versus market-based models
Journal of Business Economics and Management, 2014 This paper uses a sample of 2,186 credit default swap spreads quoted in the European market during the period 2002–2009 to empirically analyze which model – accounting- or market-based – better explains corporate credit risk. We find little difference in
Antonio Trujillo-Ponce +2 more
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