Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten [PDF]
, 2012 In almost every financial market crisis we can observe widening credit spreads, especially in the last years during the subprime and sovereign debt crisis. But what exactly drives the credit spread? This paper will outline static components, i.e. default
Cremers, Heinz, Krones, Julia
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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
CDO Pricing with Copulae [PDF]
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from
Barbara Choros +2 more
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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
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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
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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
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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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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
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
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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
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