What explains the surge in euro area sovereign spreads during the financial crisis of 2007-09? [PDF]
This paper uses a dynamic panel approach to explain the determinants of widening sovereign bond yield spreads vis-à-vis Germany in selected euro area countries during the period end-July 2007 to end-March 2009, when the financial turmoil developed into a
Attinasi, Maria-Grazia +2 more
core
Using Hermite Expansions for Fast and Arbitrarily Accurate Computation of the Expected Loss of a Loan Portfolio Tranche in the Gaussian Factor Model [PDF]
We propose a fast algorithm for computing the expected tranche loss in the Gaussian factor model with arbitrary accuracy using Hermite expansions. No assumptions about homogeneity of the portfolio are made.
Pavel Okunev
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Main Flaws of The Collateralized Debt Obligation‘s: Valuation Before And During The 2008/2009 Global Turmoil [PDF]
As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as ...
Petr Teply, Petra Benešová
core +1 more source
Recent Developments in Credit Markets [PDF]
, 2018 We summarize recent developments in the credit derivative markets. We show the role of dependence between individual debtors in portfolio derivatives in a study of implied correlation.
Brommundt, Bernd +3 more
core
The Flow of Information in Trading: An Entropy Approach to Market Regimes. [PDF]
Entropy (Basel), 2020 Liu A, Chen J, Yang SY, Hawkes AG.
europepmc +1 more source
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
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Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [PDF]
Entropy (Basel), 2020 Anton SG, Afloarei Nucu AE.
europepmc +1 more source
An analysis of euro area sovereign CDS and their relation with government bonds
, 2010 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
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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
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