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
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
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
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
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
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
Are all Credit Default Swap databases equal? [PDF]
The presence of different prices in different databases for the same securities can impair the comparability of research efforts and seriously damage the management decisions based upon such research.
Eduardo S. Schwartz +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
core
The impact of sovereign credit risk on bank funding conditions [PDF]
The financial crisis and the ensuing recession have caused a sharp deterioration in public finances across advanced economies, raising investor concerns about sovereign risk.
Correa, Ricardo +10 more
core +1 more source