Results 21 to 30 of about 1,617 (102)

relationship between COVID-19 and the credit risk: a case study for EuroStoxx 50 companies

Revista de Métodos Cuantitativos para la Economía y la Empresa, 2023
In this paper, we explore the impact of the COVID-19 pandemic on the credit risk of large European companies. We selected corporations belonged to the EuroStoxx 50 Index and whose CDS (Credit Default Swap) may be found in the iTraxx Europe Index. Then we
Cecilia Téllez Valle, Margarita Martín García, Filippo Di Pietro, José Luis Martín Marín   +3 more
semanticscholar   +1 more source

Modeling Corporate CDS Spreads Using Markov Switching Regressions

Studies in Nonlinear Dynamics & Econometrics, 2023
This paper investigates the determinants of the European iTraxx corporate CDS index considering a large set of explanatory variables within a Markov switching model framework.
Ovielt Baltodano López, Giacomo Bulfone, Roberto Casarin, F. Ravazzolo   +3 more
semanticscholar   +1 more source

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, Sumit Sourabh, Drona Kandhai, Thiago C. Silva   +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, Yaming Zhuang, Xiaojing Lin, Salvatore Alfonzetti   +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, Srinivas Raghavendra, James E. Payne   +2 more
wiley   +1 more source

Are All Credit Default Swap Databases Equal? [PDF]

, 2010
The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research.
S. Mayordomo, J. Peña, Eduardo S. Schwartz   +2 more
semanticscholar   +1 more source

Fiscal Rules, Independent Fiscal Institutions and Sovereign Risk: Evidence From the European Union

International Journal of Finance &Economics, Volume 31, Issue 1, Page 29-45, January 2026.
ABSTRACT This paper examines the effects of fiscal rules (FRs) and independent fiscal institutions (IFIs) on sovereign risk. To address potential endogeneity issues, we employ the System Generalised Method of Moments (GMM) estimator in an analysis comprising 24 European Union member states throughout the 2007–2019 period.
Bogdan Căpraru, George Georgescu, Nicu Sprincean   +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., Aleksiejuk A., Bakkaloglu M., Challet D., Chow Y. S., Davis M., Dchinszi R. B., Finetti De, Hisakado M., Hull J., Iori G., Kingman J. F. C., Kitsukawa K., Kiyono K., Lei T., Mantegna R. S., Masuda N., Pastor-Satorras R., Schönbucher P. J., Souma W.   +19 more
core   +1 more source

A market-consistent framework for the fair evaluation of insurance contracts under Solvency II [PDF]

, 2019
The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds ...
Casalini, R., Fusai, G., Gambaro, A. M., Ghilarducci, A.   +3 more
core   +2 more sources