Results 51 to 60 of about 26,018 (204)
DETERMINANTS OF INTEREST RATES ON CORPORATE DEBT
Фінансово-кредитна діяльність: проблеми теорії та практики, 2021 . The objective of this article is theoretical and methodological justifying of determining algorithm of the cost of debt capital for enterprises functioning in emerging markets (EM).
O. Tereshchenko +3 more
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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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Metodologia para precificação de credit default swaps
Revista de Economia Mackenzie, 2009 Although the global trading volume of credit derivatives has exceeded tenths of trillions of dollars, the market in Brazil for these instruments is still incipient.
Helcio Haruo Sasaki +2 more
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Credit default swaps and regulatory capital relief: Evidence from European banks
Finance Research Letters, 2018 In a sample of European banks, we find that credit default swaps (CDS) are used for regulatory arbitrage to lower capital requirements and facilitate greater risk taking.
John Thornton, Caterina Di Tommaso
semanticscholar +1 more source
L’Italia: una crisi nella crisi.(Italy: A Crisis within the Crisis)
Moneta e Credito, 2011 The article synthesises the large and extending literature on the financial and economic crisis from a Post-Keynesian point of view. The authors take on the position that the international and internal real imbalances are serious and worrying, but yet ...
Carlo D'ippoliti, Alessandro Roncaglia
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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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Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
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Credit Default Swaps and Systemic Risk
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cont, R, Minca, A
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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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Relationship between Lithuanian sovereign credit risk and equity market
Business, Management and Education, 2015 We analyse relationship between Lithuanian sovereign credit risk and equity market. The aim of the paper is to find the impact of the sovereign credit risk, which is expressed in the terms of Credit Default Swaps (CDS), on the movements of stocks prices ...
Aistė Abazoriūtė, Arvydas Kregždė
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