Results 161 to 170 of about 418 (215)

The Evolving Indian Insolvency Law Regime in a Pandemic Era

, 2022
Awasthi A, Reshmi D.
europepmc   +1 more source

Hidden community interlayer spillover detection in financial multilayer networks: Generalization of hierarchical clustering to multilayer networks. [PDF]

PLoS One
Ardalankia J, Habibnia A, Ausloos M, Jafari GR.   +3 more
europepmc   +1 more source

Assessing interconnectedness and systemic importance of Chinese financial institutions. [PDF]

iScience
Liu Z, Wang L, Huang C, Yang B.
europepmc   +1 more source

Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study

The Journal of Investment Strategies, 2014
Cheng-Ran Du, Tim Brunne
  +5 more sources

An index of European loan credit default swaps: iTraxx LevX

Law and Financial Markets Review, 2008
The Markit iTraxx LevX indices are based on terms published by the International Swaps and Derivatives Association and intended to enable market participants to hedge or assume systemic risks more efficiently. Designed for the European leveraged loan market often characterised by insufficient information, these indices use a continuity procedure in ...
Justin Conway, Julia Lu Fu
openalex   +3 more sources

Asymmetric convergence in US financial credit default swap sector index markets

The Quarterly Review of Economics and Finance, 2011
Abstract This study examines the asymmetric adjustments to the long-run equilibrium for credit default swap (CDS) sector indexes of three financial sectors – banking, financial services and insurance – in the presence of a threshold effect. The results of the momentum-threshold autoregression (M-TAR) models demonstrate that asymmetric cointegration ...
Li-Hsueh Chen, Shawkat Hammoudeh, Yuan Yuan   +2 more
openalex   +3 more sources

Volatility spillovers and connectedness among credit default swap sector indexes

Applied Economics, 2018
This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period from 2007 to 2012.
José Da Fonseca, Katja Ignatieva
openalex   +3 more sources

A comparison study of pricing credit default swap index tranches with convex combination of copulae [PDF]

The North American Journal of Economics and Finance, 2017
Abstract Copula as a tool for dependence modeling has been widely used in pricing portfolio-like financial derivatives, e.g. credit default swap index (CDX) tranches. Among the pricing models, the model equipped with the Gaussian copula has become the market benchmark for a long time.
Ostap Okhrin, Ya-Fei Xu
openalex   +3 more sources

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models [PDF]

Journal of Empirical Finance, 2008
Abstract In this paper, we provide two one-factor heavy-tailed copula models for pricing a collateralized debt obligation and credit default index swap tranches: (1) a one-factor double t distribution with fractional degrees of freedom copula model and (2) a one-factor double mixture distribution of t and Gaussian distribution copula model.
Dezhong Wang, Svetlozar T. Rachev, Frank J. Fabozzi   +2 more
openalex   +2 more sources

Pricing and integration of credit default swap index tranches

Journal of Futures Markets, 2019
AbstractThis paper first designs an efficient procedure to value Credit Default Swap Index tranches using an intensity‐based model. The tranche spreads are effectively explained by a three‐factor version of this model, both before and during the financial crisis of 2008.
Andrew Carverhill, Dan Luo
openalex   +3 more sources