Results 21 to 30 of about 1,374 (92)

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

Correlation Structures of Correlated Binomial Models and Implied Default Distribution

, 2008
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables.
Aleksiejuk A., Andersen L., Bouchaud J.-P., Chmiel A. M., Davis M., Finger C. C., Helbing D., Hisakado M., Hull J., Iori G., Jobst N. J., Kitsukawa K., Mantegna R. A., Sakata A., Schönbucher P. J., Souma W., Vacca L.   +16 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, ANTHONY SAUNDERS, SASCHA STEFFEN   +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

From Climate Chat to Climate Shock: Non‐Linear Impacts of Transition Risk in Energy CDS Markets

Environmetrics, Volume 36, Issue 3, April 2025.
ABSTRACT It is still unclear to what extent transition risks are being internalized by financial investors. In this paper, we provide a novel investigation of the impact of media‐based measures of transition risks on the credit risk of energy companies, as measured by their credit default swaps (CDS) indices. We include both European and North American
Emanuele Campiglio, Luca De Angelis, Paolo Neri, Ginevra Scalisi   +3 more
wiley   +1 more source

Corporate credit default swap systematic factors

Journal of Futures Markets, Volume 44, Issue 7, Page 1224-1256, July 2024.
Abstract We examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average R 2 ${R}^{2}$ of 35%), while firm‐specific ...
Ka Kei Chan, Ming‐Tsung Lin, Qinye Lu
wiley   +1 more source

The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]

, 2011
By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Kapar, B., Olmo, J.
core  

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

Are CDS spreads predictable? An analysis of linear and non-linear forecasting models [PDF]

, 2014
We assess the statistical and economic performance of various forecasting models to predict the future values of the iTraxx index. We find that linear models outperform non-linear models out-of-sample.
Alexander, Ang, Balke, Berkowitz, Black, Blanco, Byström, Campbell, Campbell, Chan, Cochrane, Cochrane, Collin-Dufresne, Cremers, Davide Avino, Dickey, Diebold, Diebold, Dionne, Elliott, Engel, Eom, Ericsson, Fama, Ferreira, Gargano, Giacomini, Guidolin, Guidolin, Guidolin, Guo, Guo, Hamilton, Harvey, Hong, Houweling, Huang, Jones, Keim, Kilian, Kim, Krishnan, Lekkos, Leland, Leung, Longstaff, Ludvigson, McMillan, Merton, Ogonna Nneji, Opdyke, van Dijk, Zhang   +52 more
core   +1 more source

Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios

, 2006
This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases.
Andersen L, Cifuettes A, Duffie D, Fabozzi FJ, Finger CC, Finger CC, Frey R, Hull J, Hull J, Hull J, Jobst NJ, K. Kitsukawa, Laurent J-P, M. Hisakado, Martin R, Molins J, S. Mori, Schönbucher P, Schönbucher P, Vasicek O, Witt G   +20 more
core   +3 more sources