Results 21 to 30 of about 1,390 (89)

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

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, Margarita Martín García, José Luis Martín Marín   +2 more
wiley   +1 more source

Gambling for market recovery? European insurers' corporate bond investments during market stress

Journal of Risk and Insurance, Volume 92, Issue 4, Page 857-908, December 2025.
Abstract Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID‐19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro‐cyclically towards lower credit risk assets in the first month of the
Marcel Beyer
wiley   +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

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

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

Impact of Financial Crisis on the Profitability of Capital Structure Arbitrage in Australia

The International Journal of Banking and Finance, 2016
We evaluate the performance of a convergence style capital structure arbitrage trading strategy using Australian CDS spreads estimated by the Credit Grades model.
Jiri Svec Nicholas
doaj  

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

Stressing rating criteria allowing for default clustering: the CPDO case [PDF]

After a brief review of the literature on rating arbitrage for corporate and structured nance, we introduce the standard criteria adopted by rating agencies to assess riskiness of Constant Proportion Debt Obligations (CPDO). Then, we propose a new rating
Pallavicini, Andrea, Torresetti, Roberto
core   +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