Results 31 to 40 of about 24,543 (234)
Trading strategies with implied forward credit default swap spreads [PDF]
, 2015 Credit default risk for an obligor can be hedged with either a credit de fault swap (CDS) or a constant maturity credit default swap (CMCDS). We find strong evidence of persistent differences in the hedging cost associated with the two comparable ...
Leccadito, A, Tunaru, RS, Urga, G.
core +2 more sources
ANALYSIS OF DEBT MARKET INDICATOR BEHAVIOUR
Buletin Ekonomi Moneter dan Perbankan, 2011 This paper analyze the debt market, focusing on the behavior of soverign yield and Credit Default Swap (CDS). We build several empirical models to test the factors determine these two indicators and apply them using the Indonesian and peers data.
Peter Jacobs +2 more
doaj +1 more source
ANALISIS PERILAKU INDIKATOR DEBT MARKET
Buletin Ekonomi Moneter dan Perbankan, 2011 This paper analyze the debt market, focusing on the behavior of soverign yield and Credit Default Swap (CDS). We build several empirical models to test the factors determine these two indicators and apply them using the Indonesian and peers data.
P Peter Jacobs +2 more
doaj +1 more source
Credit Default Swap Index Basis Adjustment
, 2022 https://ia601404.us.archive.org/30/items/variableSwap/variableSwap ...
openaire +1 more source
Credit Default Swap Index Curve Adjustment
, 2022 The methodology of credit default swap index (CDSI) curve adjustment serves the purpose of making adjustment to the credit spread curve of each reference name in the index portfolio such that the market price of the index can be reproduced using these constituent curves.
openaire +1 more source
What are the driving factors behind the rise of spreads and CDSs of Euro-area sovereign bonds? A FAVAR model for Greece and Ireland [PDF]
, 2012 This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature.
Apergis, Nicholas, Mamatzakis, Emmanuel
core +3 more sources
The Zeeman Effect in Finance: Libor Spectroscopy and Basis Risk Management [PDF]
, 2011 Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 ...
Bianchetti, Marco
core +2 more sources
CDS pricing under Basel III: capital relief and default protection [PDF]
, 2012 Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with three legs ...
Green, Andrew, Kenyon, Chris
core +3 more sources
Time-varying Co-movements and Contagion Effects in Asian Sovereign CDS Markets
East Asian Economic Review, 2015 We investigate interconnectedness and the contagion effect of default risk in Asian sovereign CDS markets since the global financial crisis. Using dynamic conditional correlation analysis, we find that there are significant co-movements in Asian ...
Daehyoung Cho , Kyongwook Choi
doaj +1 more source
, 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
core +3 more sources