Results 41 to 50 of about 1,374 (92)
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
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
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
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
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
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
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
The CDO market Functioning and implications in terms of financial stability. [PDF]
The result of relatively recent financial innovations, collateralised debt obligations (CDOs) are securities that represent a portfolio of bank loans and/or different financial instruments.
Cousseran, O., Rahmouni, I.
core
Credit Derivatives and the Default Risk of Large Complex Financial Institutions [PDF]
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions.
Christos Ioannidis +2 more
core
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