Results 1 to 10 of about 17,226 (277)
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
+8 more sources
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
doaj +2 more sources
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
openalex +4 more sources
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
doaj +2 more sources
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
doaj +2 more sources
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
doaj +2 more sources
Applied Finance LettersThis paper explores the informational role of the Loan Only Credit Default Index (LCDX) on the pricing of syndicated loans. Despite an extensive body of research on credit indices and loan pricing, limited studies have comprehensively assessed the ...
Zagdbazar Davaadorj, Jorge Brusa
doaj +2 more sources
The counterparty credit risk appetite in the Polish over-the-counter derivatives market
International Entrepreneurship ReviewObjective: The article aims to study the selected approach used to manage the counterparty credit risk, namely the application of the pre-settlement risk limits in the Polish over-the-counter derivatives market between financial institutions and non ...
Piotr Wybieralski
doaj +2 more sources
Mathematical Estimation Methods and Models for Industrial Companies [PDF]
EPJ Web of Conferences, 2021 The collateralized debt obligations and credit default swaps applications are shown in this paper. The industry obligations secondary market risk estimation methods are considered in this work.
Stikhova Olga
doaj +1 more source