Results 21 to 30 of about 175,519 (289)
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
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THE EFFECT OF CREDIT DERIVATIVES USAGE ON THE RISK OF EUROPEAN BANKS
Revista de Economía Mundial, 2015 Banks are the major participants in the derivatives credit markets. It was generally believed by top regulators that credit derivatives make banks sounder.
Luís Ignacio Rodríguez Gil +3 more
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The Effect of Credit Derivatives on Financial Stability
Applied Finance Letters, 2016 Due to the recent financial turmoil, questions have been raised about the impact of complex financial products, like credit derivatives, on financial stability. The academic literature however does not provide a clear answer to this question.
Richard van Ofwegen +2 more
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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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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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