Results 31 to 40 of about 1,390 (89)
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
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Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market [PDF]
, 2005 In this paper we provide some early evidence of a link between the iTraxx credit default swap (CDS) index market and the stock market. To our knowledge this is the first paper studying this relationship. Knowledge about the link between stock prices, stock return volatilities and CDS spreads is important not only for risk managers using credit default ...
openaire +2 more sources
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
A Spot Stochastic Recovery Extension of the Gaussian Copula [PDF]
The market evolution since the end of 2007 has been characterized by an increase of systemic risk and a high number of defaults. Realized recovery rates have been very dispersed and different from standard assumptions, while 60%-100% super-senior ...
Bennani, Norddine, Maetz, Jerome
core +1 more source
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
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters ...
Barbara Choroś +2 more
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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
Pairing market risk with credit risk [PDF]
, 2011 This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of 5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic literature ...
Figuerola-Ferretti, Isabel +1 more
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
Euro public debt and the markets: sovereign fundamentals and CDS market dynamics. [PDF]
At the onset of the crisis, euro area – like all Organisation for Economic Co-operation and Development (OECD) countries – public finances have massively inflated, as is typical in financial crises.
Boone, L., Fransolet, L., Willemann, S.
core