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Credit Derivatives [PDF]

Bank of Canada Review, 2000
Credit derivatives are a useful tool for lenders who want to reduce their exposure to a particular borrower but are unwilling to sell their claims on that borrower. Without actually transferring ownership of the underlying assets, these contracts transfer risk from one counterparty to another. Commercial banks are the major participants in this growing
John Kiff, Ron Morrow
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Pricing Credit Derivatives in Credit Classes Frameworks

2002
Many 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
openaire   +2 more sources

Rethinking economic capital management through the integrated derivative-based treatment of interest rate and credit risk

Annals of Operations Research, 2017
Mariya Gubareva, Maria Rosa Borges
semanticscholar   +1 more source

Credit Derivatives

2004
Frank Hagenstein, Alexander Mertz, Jan Seifert   +2 more
  +5 more sources

Strategic Conduct in Credit Derivative Markets

, 2013
P. Bolton, Martin Oehmke
semanticscholar   +1 more source

Credit Derivatives

2015
Broll, Udo, Raab, Simone, Welzel, Peter
openaire   +3 more sources

Credit Derivatives and Bank Credit Supply

SSRN Electronic Journal, 2014
Our 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.
openaire   +1 more source

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
openaire   +1 more source

The price discovery process in credit derivative market: evidence from sovereign CDS market

, 2009
Nan Li
semanticscholar   +1 more source

Credit Derivatives

2012
Pierre Bernhard, Jacob C. Engwerda, Berend Roorda, J. M. Schumacher, Vassili Kolokoltsov, Patrick Saint-Pierre, Jean-Pierre Aubin   +6 more
  +5 more sources