Results 321 to 330 of about 1,960,682 (378)
Some of the next articles are maybe not open access.
, 1999
This review of the pricing of credit swaps, a form of derivative security that can be viewed as default insurance on loans or bonds, begins with a description of the credit swap contract, turns to pricing by reference to spreads over the risk-free rate ...
D. Duffie
semanticscholar +1 more source
This review of the pricing of credit swaps, a form of derivative security that can be viewed as default insurance on loans or bonds, begins with a description of the credit swap contract, turns to pricing by reference to spreads over the risk-free rate ...
D. Duffie
semanticscholar +1 more source
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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A Top-Down Approach to Multi-Name Credit
Operational Research, 2009A multiname credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio.
K. Giesecke +2 more
semanticscholar +1 more source
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.
openaire +2 more sources
Financial Innovation and Bank Behavior: Evidence from Credit Markets
, 2011This paper investigates whether, and through which channel, the active use of credit derivatives changes bank behavior in the credit market, and how this channel was affected by the crisis of 2007–2009.
Lars Norden +2 more
semanticscholar +1 more source
Equity-credit modeling under affine jump-diffusion models with jump-to-default
, 2014This paper considers the stochastic models for pricing credit-sensitive financial derivatives using the joint equity-credit modeling approach. The modeling of credit risk is embedded into a stochastic asset dynamics model by adding the jump-to-default ...
T. Chung, Y. Kwok
semanticscholar +1 more source
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.
openaire +4 more sources
Credit Derivatives, Corporate News, and Credit Ratings [PDF]
SSRN Electronic Journal, 2008 The market for credit default swaps (CDS) represents an interesting venue to study if and how public and private information is incorporated in market prices. This OTC market is neither regulated nor supervised and exclusively made up by institutional traders that buy and sell credit risk.
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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 ...
openaire +2 more sources
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
openaire +2 more sources