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Credit risk and credit derivatives in banking [PDF]
, 2002 Wir verwenden den industrieökonomischen Ansatz der Theorie der Bank und untersuchen eine Bank mit Marktmacht im Einlagen- und Kreditmarkt bei Kreditrisiko. Ziel der Untersuchung sind Aussagen darüber, wie das Kreditrisiko optimales Verhalten im Einlagen- und Kreditmarkt beeinflusst, wenn Kreditderivate verfügbar sind.
Udo Broll, Thilo Pausch, Peter Welzel
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Credit Derivatives in an Affine Framework [PDF]
Asia-Pacific Financial Markets, 2007 An efficient method for valuing credit derivatives based on three entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of three firms. As an application we provide closed form expressions for the joint distribution of default times, default ...
Li Chen, Damir Filipovic
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Pricing Credit Derivatives in Credit Classes Frameworks
2002Many credit management systems, based on different underlying frameworks, are now available to measure and control default and credit risks1. Homogeneous credit classes and associated transition matrix may thus be constructed within many different frameworks.
Moraux, Franck, Navatte, Patrick
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The Journal of Derivatives, 1995
This article models the pricing of derivatives on credit risk, instruments proposed in 1992 by the International Swap Dealers Association that have started attracting market attention. The exact structure of the instruments continues to evolve today. We develop a framework to understand the key features of this class of products.
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This article models the pricing of derivatives on credit risk, instruments proposed in 1992 by the International Swap Dealers Association that have started attracting market attention. The exact structure of the instruments continues to evolve today. We develop a framework to understand the key features of this class of products.
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Taxation of Credit Derivatives [PDF]
SSRN Electronic Journal, 2009 One arguably good thing about the current financial crisis is that it has broadened public understanding of the global financial system. Few people had heard of credit default swaps two years ago, but these instruments have, since then, forced themselves on the attention the most casual reader of financial news.
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2004
Publisher Summary This chapter provides an introduction to credit derivatives. Credit derivatives are bilateral arrangements whereby the credit risks are separated from the ownership of the financial asset and distributed to a party comfortable with the exposure.
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Publisher Summary This chapter provides an introduction to credit derivatives. Credit derivatives are bilateral arrangements whereby the credit risks are separated from the ownership of the financial asset and distributed to a party comfortable with the exposure.
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2005
Publisher Summary The market for credit derivatives has undergone enormous changes in recent years. This chapter provides an overview of the main forces shaping the market, including a discussion of major types of market participants. The chapter also discusses the most common instruments, practices, and conventions that underlie activity in the ...
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Publisher Summary The market for credit derivatives has undergone enormous changes in recent years. This chapter provides an overview of the main forces shaping the market, including a discussion of major types of market participants. The chapter also discusses the most common instruments, practices, and conventions that underlie activity in the ...
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2009
Publisher Summary This chapter discusses credit derivatives as a specific class of financial instruments whose value is derived from an underlying asset bearing a credit risk of private or sovereign debt issuers. The rationales behind credit derivatives are various, depending on the types of players on the market.
T Rachev Svetlozar, Trueck Stefan
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Publisher Summary This chapter discusses credit derivatives as a specific class of financial instruments whose value is derived from an underlying asset bearing a credit risk of private or sovereign debt issuers. The rationales behind credit derivatives are various, depending on the types of players on the market.
T Rachev Svetlozar, Trueck Stefan
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2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from credit spreads and the real-world (physical) default ...
John Hull, Alan White
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This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from credit spreads and the real-world (physical) default ...
John Hull, Alan White
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Credit Derivatives and Bank Credit Supply
SSRN Electronic Journal, 2014Our paper explores the influence of credit derivatives on bank credit supply theoretically and empirically. We build a two-stage model of financial intermediation, which treats the bank under consideration as one of a large number of monopolists in the local credit market.
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