Results 121 to 130 of about 195,173 (169)
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ON SURRENDER AND DEFAULT RISKS
Mathematical Finance, 2010This paper examines certain types of saving institutions or insurance companies that are subject to surrender and default risks, in a stochastic interest rate context. In the setting under study, investors are endowed with an option to surrender. The goal of the paper is to study how this option impacts the default risk of the issuing company and the ...
Le Courtois, Olivier +1 more
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Calibrating Risk-neutral Default Correlation [PDF]
SSRN Electronic Journal, 2004 The implementation of credit risk models has largely relied on the use of historical default dependence, as proxied by the correlation of equity returns. However, as is well known, credit derivative pricing requires risk-neutral dependence. Using the copula methodology, we infer risk neutral dependence from CDS data.
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Pricing the risks of default [PDF]
Review of Derivatives Research, 1998 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Dilip Madan, Haluk Unal
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Default Risk, Default Risk Premiums, and Corporate Yield Spreads
SSRN Electronic Journal, 2006An important research area of the corporate yield spread literature seeks to measure the proportion of the spread explained by various factors such as the possibility of default, liquidity or tax differentials. We contribute to this literature by assessing the ability of observed macroeconomic factors and the possibility of changes in regimes to ...
Georges Dionne +4 more
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Optimal Investment with Default Risk [PDF]
SSRN Electronic Journal, 2003 In this paper, we investigate how investors who face both equity risk and credit risk would optimally allocate their financial wealth in a dynamic continuous-time setup. We model credit risk through the defaultable zero-coupon bond and solve the dynamics of its price after pricing it.
Yuanfeng Hou, Xiangrong Jin
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Journal of Real Estate Research, 1992 This article combines cross-sectional time series data on real estate appreciation rates during the 1974 to 1989 period with an option-based model of mortgage default to simulate the default and lo...
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The Journal of Fixed Income, 2002
Using a comprehensive and unique data set from Moody's, we examine correlations between default risk for over 7,000 U.S. public firms. This is the first paper to empirically document the correlation structure both in the time-series and in the cross-section across almost all U.S. non-financial firms.
Sanjiv Ranjan Das +3 more
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Using a comprehensive and unique data set from Moody's, we examine correlations between default risk for over 7,000 U.S. public firms. This is the first paper to empirically document the correlation structure both in the time-series and in the cross-section across almost all U.S. non-financial firms.
Sanjiv Ranjan Das +3 more
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Romanian Statistical Review Supplement, 2013 There are numerous studies which have examined risk of default on the capital market. Over time have appeared many models for the determination of the risk of default. All these models have shown that the risk of default may be dependent on some observable variables, as well as financial indicators or the economy.
Vergil VOINEAGU +3 more
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Premia for correlated default risk
Journal of Economic Dynamics and Control, 2008Using data on corporate default experience in the U.S. and market rates of CDX index and tranche swaps of various maturities, we estimate reduced-form models of correlated default timing in the CDX High Yield and Investment Grade portfolios under actual and risk-neutral probabilities.
Kay Giesecke +2 more
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Is Bank Default Risk Systematic?
SSRN Electronic Journal, 2011Abstract We evaluate the impact of commonly used indicators of bank distress on broad (i.e. sector and country) risks. This issue deserves special attention in the banking industry where there is a strong degree of interconnectedness among institutions and the default of a single bank may cause a cascading failure, which could potentially bankrupt ...
FIORDELISI, FRANCO +1 more
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