Results 51 to 60 of about 1,377 (94)
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
A value at risk analysis of credit default swaps [PDF]
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity.
Raunig, Burkhard, Scheicher, Martin
core
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
Hedging tranches index products : illustration of model dependency
, 2006 International audienceIn 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 ...
Guegan, Dominique, Houdain, Julien
core +1 more source
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
Investigating the determinants of corporate bond credit spreads in the euro area
, 2023 Letta S, Mirante P.
europepmc +1 more source
Systemic risk measures: the simpler the better. [PDF]
We compute six different sets of systemic risk measures for a sample of the 20 biggest European and 13 biggest US banks from January 2004 to November 2009.
Peña Sánchez de Rivera, Juan Ignacio +1 more
core
Credit default swaps and financial stability: risks and regulatory issues. [PDF]
The credit default swap (CDS) market has grown much faster than other derivatives markets since its inception. Even though it is dwarfed by the interest rate derivatives market, which is eight times larger, its growth has affected the stability of the ...
Duquerroy, A., Gauthier, N., Gex, M.
core
Infinite product expansion of the Fokker-Planck equation with steady-state solution. [PDF]
Proc Math Phys Eng Sci, 2015 Martin RJ, Craster RV, Kearney MJ.
europepmc +1 more source
Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]
This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Chia-Lin Chang +3 more
core