Results 21 to 30 of about 1,396 (101)
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
wiley +1 more source
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
core +3 more sources
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
wiley +1 more source
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
wiley +1 more source
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
wiley +1 more source
Testing for Nonlinear Dependence in the Credit Default Swap Market
Economics Research International, Volume 2011, Issue 1, 2011., 2011 The objective of this paper is to test for nonlinear dependence in the GARCH residuals of a number of asset classes using nonlinear dynamic tools. The equity and bond market samples appear to be independent once GARCH has been applied, but evidence of nonlinear dependence in the CDS GARCH residuals is found.
Kitty Moloney +2 more
wiley +1 more source
Infectious Default Model with Recovery and Continuous Limit
, 2008 We introduce an infectious default and recovery model for N obligors. Obligors are assumed to be exchangeable and their states are described by N Bernoulli random variables S_{i} (i=1,...,N).
Albert R. +19 more
core +1 more source
Are Risky Banks Disciplined by Large Corporate Depositors?
Journal of Money, Credit and Banking, EarlyView.Abstract We analyze depositor discipline using auctions of unsecured money market deposits of firms to banks. In each auction, only the firm observes the banks and their interest rate bids. We observe that deposit interest rate bids increase with bank risk.
BJÖRN IMBIEROWICZ +2 more
wiley +1 more source
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
core +1 more source
The impact of war in Ukraine on market and credit risk: A case study of EuroStoxx companies
Review of Financial Economics, Volume 44, Issue 1, January 2026.Abstract In this article, we explore the impact of the beginning of the war between Ukraine and Russia on both the market and credit risk of large European companies to find out which were more sensitive and if the reactions varied by sector. We sampled from companies included in the EuroStoxx 600 index and those whose CDS can be found in the iTraxx ...
Cecilia Téllez Valle +2 more
wiley +1 more source