Results 11 to 20 of about 24,543 (234)
Uluslararası Anadolu Sosyal Bilimler DergisiThe financial services sector is a cornerstone of economic growth, with confidence indices and risk premiums serving as key indicators of market dynamics. The Financial Services Confidence Index (FSCI) and Credit Default Swap (CDS) premiums reflect risk perception and investor expectations, while the Borsa Istanbul Services Index (XUHIZ) is an ...
Emine KARAÇAYIR
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ABX.HE Indexed Credit Default Swaps and the Valuation of Subprime MBS
, 2009 Current pricing of ABX.HE indexed credit default swaps (CDS) imply levels of forecasted losses for sup-prime residential mortgage backed securities (RMBS) that are substantially greater than realized credit events in these securities. Regression results, controlling for the correlational structure of the common underlying mortgage pools, indicate that ...
Stanton, Richard, Wallace, Nancy E.
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Anadolu Üniversitesi İktisadi ve İdari Bilimler Fakültesi DergisiHigh levels of volatility, which reflect fluctuations in the price of a financial asset or instrument, lead investors to monitor global markets more closely. The VIX index, closely followed by global investors, signals expectations of increased market volatility when it is at high levels and decreased volatility when it is at low levels.
Emine KARAÇAYIR
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The Bear's Lair: Index Credit Default Swaps and the Subprime Mortgage Crisis
SSRN Electronic Journal, 2011 Nancy Wallace
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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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Scientific Annals of Economics and Business, 2021 International investors wish to measure the sovereign risk premiums of the countries they want to invest in. Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased CDS
Sinan Aytekin, Nida Abdioglu
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Borsa Istanbul Review, 2022 This study researches the impacts of foreign portfolio flows (proxied by foreign investors' retention share) and monetary policy responses (proxied by the repurchase interest rate) on Turkey's stock market index taking the COVID-19 pandemic into ...
Mustafa Tevfik Kartal +2 more
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Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices
Mathematics, 2021 Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default.
Kuang-Hua Hu +3 more
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Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model
Mathematics, 2021 Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9.
Ming-Chin Hung +2 more
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