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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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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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Pricing and Hedging of Credit Risk : Replication and Mean-Variance Approaches
The paper presents some methods and results related to the valuation and hedging of defaultable claims (credit-risk sensitive derivative instruments).
T. Bielecki, M. Jeanblanc, M. Rutkowski
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An Overview of Credit Derivatives [PDF]
SSRN Electronic Journal, 2009 Credit risk is the distribution of nancial loss due to a broken nancial agreement, for example failure to pay interest or principal on a loan or bond. It pervades virtually all nancial transactions, and therefore plays a signicant role in nancial markets. A credit derivative is a security that allows investors to transfer credit risk to other investors
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Annals of Operations Research, 2017
Mariya Gubareva, Maria Rosa Borges
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Mariya Gubareva, Maria Rosa Borges
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Strategic Conduct in Credit Derivative Markets
, 2013P. Bolton, Martin Oehmke
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Credit Derivatives and Counterparty Credit Risk
2017Financial derivatives are generally contracts whose financial payoffs depend on the prices of certain underlying assets. The contracts are traded Over the Counter (OTC), or in a standardized form on organized exchanges. The most popular derivative types are forwards, futures, options, and swaps.
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2004
Publisher Summary This chapter focuses on funded credit derivative instruments or credit-linked notes (CLNs). The CLNs are bond instruments for which an investor pays cash to receive a periodic coupon and on maturity or termination all or part of its initial price back.
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Publisher Summary This chapter focuses on funded credit derivative instruments or credit-linked notes (CLNs). The CLNs are bond instruments for which an investor pays cash to receive a periodic coupon and on maturity or termination all or part of its initial price back.
openaire +4 more sources