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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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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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
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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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An analysis of euro area sovereign CDS and their relation with government bonds
, 2010 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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Investigating the determinants of corporate bond credit spreads in the euro area
, 2023 Letta S, Mirante P.
europepmc +1 more source
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
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
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