Results 11 to 20 of about 1,374 (92)
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
The Journal of Investment Strategies, 2014 Tim Brunne, Cheng-Ran Du
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Complexity, Volume 2023, Issue 1, 2023., 2023 Previous studies focused on the fundamental channels of the interaction between the equity market and credit default swap (CDS) market. This paper finds another channel, investor sentiment, that contributes to the impact of the equity market on the CDS market under different time horizons and market conditions within the framework of wavelet quantile ...
Weifang Mao +5 more
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Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation
Complexity, Volume 2021, Issue 1, 2021., 2021 We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better‐ and ...
Min Lu +3 more
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Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Complexity, Volume 2020, Issue 1, 2020., 2020 In this study, we analyze the term structure of credit default swaps (CDSs) and predict future term structures using the Nelson–Siegel model, recurrent neural network (RNN), support vector regression (SVR), long short‐term memory (LSTM), and group method of data handling (GMDH) using CDS term structure data from 2008 to 2019.
Won Joong Kim +3 more
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What are the driving factors behind the rise of spreads and CDSs of Euro-area sovereign bonds? A FAVAR model for Greece and Ireland [PDF]
, 2012 This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature.
Apergis, Nicholas, Mamatzakis, Emmanuel
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Syntetisk CDO: iTraxx-prising ved bruk av en Normal Invers Gaussisk Copula
, 2013 I denne oppgaven skal vi se at det er et stort marked for kredittderivater etter finanskrisen, men da i en vridning mot syntetiske varianter. Men framtidsutsiktene er usikre, da disse produktene er i en særstilling når det gjelder nye reguleringer.
Kjetil Sørlien Nordanå
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Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
Complexity, Volume 2018, Issue 1, 2018., 2018 Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate
Ioannis Anagnostou +3 more
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The dynamics of spillover effects during the european sovereign debt turmoil : [draft: october 29, 2012] [PDF]
, 2012 In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area.
Alter, Adrian, Beyer, Andreas
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Credit Derivatives Pricing Model for Fuzzy Financial Market
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing.
Liang Wu +3 more
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Credit Portfolios, Credibility Theory, and Dynamic Empirical Bayes
International Scholarly Research Notices, Volume 2012, Issue 1, 2012., 2012 We begin with a review of (a) the pricing theory of multiname credit derivatives to hedge the credit risk of a portfolio of corporate bonds and (b) current approaches to modeling correlated default intensities. We then consider pricing of insurance contracts using credibility theory in actuarial science. After a brief discussion of the similarities and
Tze Leung Lai, I. Beg, M. Scotto
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