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
Are CDS spreads predictable during the Covid-19 pandemic? Forecasting based on SVM, GMDH, LSTM and Markov switching autoregression. [PDF]
Expert Syst Appl, 2022 Vukovic DB +3 more
europepmc +1 more source
An analysis of euro area sovereign CDS and their relation with government bonds [PDF]
This paper studies the relative pricing of euro area sovereign CDS and the underlying government bonds. Our sample comprises weekly CDS and bond spreads of ten euro area countries for the period from January 2006 to June 2010.
Fontana, Alessandro, Scheicher, Martin
core
Information Flow Network of International Exchange Rates and Influence of Currencies. [PDF]
Entropy (Basel), 2021 Cao H, Lin F, Li Y, Wu Y.
europepmc +1 more source
Hedging tranches index products : illustration of model dependency [PDF]
In this paper, index tranches'properties and several hedging strategies are discussed. Model risk and correlation risk are analysed through the study of the efficiency of several factor based copula models, like the Gaussian, the double-t and the double ...
Dominique Guegan, Julien Houdain
core
A Semi-Analytical Parametric Model for Dependent Defaults [PDF]
A semi-analytical parametric approach to modeling default dependency is presented. It is a multi-factor model based on instantaneous default correlation that also takes into account higher order default correlations. It is capable of accommodating a term
Balakrishna, B S
core +1 more source
The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09 [PDF]
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope.
Ejsing, Jacob, Lemke, Wolfgang
core
Detecting and Analyzing Politically-Themed Stocks Using Text Mining Techniques and Transfer Entropy-Focus on the Republic of Korea's Case. [PDF]
Entropy (Basel), 2021 Choi I, Kim WC.
europepmc +1 more source
Multi-Factor Bottom-Up Model for Pricing Credit Derivatives [PDF]
In this note we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton (1999).
Tsui, L. K.
core +1 more source
Levy Density Based Intensity Modeling of the Correlation Smile [PDF]
The jump distribution for the default intensities in a reduced form framework is modeled and calibrated to provide reasonable fits to CDX.NA.IG and iTraxx Europe CDOs, to 5, 7 and 10 year maturities simultaneously.
Balakrishna, B S
core +1 more source