Results 11 to 20 of about 13,764 (229)
A moral hazard perspective on financial crisis [PDF]
Banks and Bank Systems, 2017 Moral hazard is a typical problem of modern economic system, if we consider its a central role in the events leading up to the (financial) crisis of 2008.
Francesco Busato, Cuono Massimo Coletta
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Credit derivatives and bank credit supply [PDF]
Journal of Financial Intermediation, 2008 Credit derivatives are the latest in a series of innovations that have had a significant impact on credit markets. Using a micro data set of individual corporate loans, this paper explores whether use of credit derivatives is associated with an increase in bank credit supply.
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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
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Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
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SECURITIZATION AS A FACTOR OF THE BORDER CREDIT EXTENSION
Статистика и экономика, 2016 The article discusses the problem with financial market influence on the border credit through the use of the asset securitization. The authors analyze its nature, functions, types and credit practices of the banks-participants in credit derivatives ...
Tatiana M. Kosterina, Tatyana A. Panova
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A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads
Central Bank Review, 2021 The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies,
Doruk Küçüksaraç +3 more
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Jurisprudential Analysis of Applying Credit Default Swap and Credit-Linked Note in Credit Risk Management of Banks [PDF]
تحقیقات مالی اسلامی (پیوسته), 2012 Given the importance of credit risk in the banking system, banks have always paid special attention to credit risk management and have used different tools to manage it. Using credit derivatives, especially "credit default swap" and "credit-linked note",
Rasool Khansari +2 more
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Dependent defaults and losses with factor copula models
Dependence Modeling, 2017 We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with paircopula constructions, and nest many standard ...
Ackerer Damien, Vatter Thibault
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The impacts of diversified operations on lending of financial institution
Journal of Business Economics and Management, 2012 This study explores the impacts of bank's diversified operations on their loans, the threshold effect of bank's derivatives trading and the impacts on their financial behaviors are investigated. The results show that there are two separate regime effects
Jer-Shiou Chiou +3 more
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CREDIT DERIVATIVES: TRADING PROTECTION
Economics & EducationThe article describes the main forms of credit derivatives, the evolution of their development and conditions of use. Particular attention is paid to the conditions of protection against credit risk.
Valentyn Burianov, Ganna Kulish
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