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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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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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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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INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
Quantitative Methods in Economics, 2022 The paper examines the impact of the countries’ credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies.
Patrycja Chodnicka-Jaworska
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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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Studies and Scientific Researches: Economics Edition, 2015 During the past few years, in the recent post-crisis aftermath, global asset managers are constantly searching new ways to optimize their investment portfolios while financial and banking institutions around the world are exploring new alternatives to ...
Silviu Eduard Dinca
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Designing Collateralized Debt Obligations in Non-Riba Banking, Based on Imamia Jurisprudence [PDF]
تحقیقات مالی اسلامی (پیوسته), 2013 The most important factor of financial institutions' failure is credit risk, which by necessity needs to be reduced by finding some solutions. One of the modern instruments of credit derivatives is collateralized debt obligations that diversify and ...
Mohammad Tohidi
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