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
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
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
core
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
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
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
Financial crises and information transfer: An empirical analysis of the lead-lag relationship between equity and CDS iTraxx Indices [PDF]
This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background
Ehlers, Stefan +2 more
core
Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices [PDF]
This paper investigates the determinants of the iTraxx CDS Europe indices, finding strong evidence that they are regime dependent. During volatile periods credit spreads become highly sensitive to stock volatility and more sensitive to this than to stock
Andreas Kaeck, Carol Alexander
core
Delayed Default Dependency and Default Contagion [PDF]
Delayed, hence non-simultaneous, dependent defaults are discussed in a reduced form model. The model is a generalization of a multi-factor model based on simultaneous defaults to incorporate delayed defaults.
Balakrishna, B S
core +1 more source
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