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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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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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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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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Main Flaws of The Collateralized Debt Obligation‘s: Valuation Before And During The 2008/2009 Global Turmoil [PDF]
As a result of the 2008 financial crisis, the world credit markets stalled significantly and raised the doubts of market participants and policymakers about the proper and fair valuation of financial derivatives and structured products such as ...
Petr Teply, Petra Benešová
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
A Semi-Analytical Parametric Model for Dependent Defaults [PDF]
A semi-analytical parametric approach to modeling default dependency is presented. It is a multi-factor model based on instantaneous default correlation that also takes into account higher order default correlations. It is capable of accommodating a term
Balakrishna, B S
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Recent Developments in Credit Markets [PDF]
, 2018 We summarize recent developments in the credit derivative markets. We show the role of dependence between individual debtors in portfolio derivatives in a study of implied correlation.
Brommundt, Bernd +3 more
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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
Multi-Factor Bottom-Up Model for Pricing Credit Derivatives [PDF]
In this note we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton (1999).
Tsui, L. K.
core +1 more source