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Introduction to Credit Derivatives [PDF]
SSRN Electronic Journal, 2001 The authors provide the reader with a simple introduction to credit derivatives. The article includes a broad overview of the market, estimates of the global market size, and a description of the most widely used products.
Moorad Choudhry
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Pricing of Credit Risk Derivatives with Stochastic Interest Rate [PDF]
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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Credit Derivatives Are Not 'Insurance' [PDF]
SSRN Electronic Journal, 2009 According to the conventional wisdom, credit derivative contracts are a form of insurance. This view is held by academics, pundits, journalists, and government officials. This essay shows why they are wrong. While there is some superficial similarity between some kinds of credit derivative contracts and insurance contracts - both involve payments by a ...
M. Todd Henderson
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Operations Research Perspectives, 2016 In this present study, a production inventory model with partial trade credit is formulated and solved in fuzzy environment via Generalized Hukuhara derivative approach. To capture the market, a supplier offers a trade credit period to its retailers. Due
Pinki Majumder +3 more
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Managing Credit Risk with Credit and Macro Derivatives [PDF]
SSRN Electronic Journal, 2003 The industrial organization approach to the microeconomics of banking augmented by uncertainty and risk aversion is used to examine credit derivatives and macro derivatives as instruments to hedge credit risk for a large commercial bank.
Gerhard Schweimayer +2 more
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Economic determinants of default risks and their impacts on credit derivative pricing [PDF]
, 2010 This study constructs a credit derivative pricing model using economic fundamentals to evaluate CDX indices and quantify the relationship between credit conditions and the economic environment.
Szu‐Lang Liao, Jui‐Jane Chang
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Credit Derivatives and Loan Pricing [PDF]
Journal of Banking & Finance, 2007 This paper examines the relationship between the new markets for credit default swaps (CDS) and the pricing of syndicated loans to U.S. corporates. We find that changes in CDS spreads have a significantly positive coefficient and explain about 25% of subsequent monthly changes in aggregate loan spreads during 2000-2005.
Lars Nordén, Wolf Wagner
+10 more sources
A new credit derivatives pricing model under uncertainty process [PDF]
Systems Science & Control Engineering, 2018 Due to many uncertainties in the financial market, the pricing process of credit derivatives has not only the characteristic of randomness but also nonrandom uncertainties. Thus, the absence of uncertain factors will make the pricing model and the actual
Liang Wu, Ya-ming Zhuang
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Does the use of hedge derivatives improve the credit ratings of Brazilian companies? [PDF]
Revista Contabilidade & Finanças, 2019 The purpose of this study is to identify the factors that may explain the attribution of credit ratings to firms, focusing especially on the impact of derivatives.
Rafael Moreira Antônio +3 more
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Credit Derivatives Pricing Models [PDF]
Problemi EkonomikiDerivatives play an important role in the processes that take place in the global economy and economic growth. They are critical for hedging risks in the banking sector, managing the interest rate in the activities of pension funds, satisfying insurance ...
Viadrova Inna M. +2 more
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