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
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
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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
Syntetisk CDO: iTraxx-prising ved bruk av en Normal Invers Gaussisk Copula
, 2013 I denne oppgaven skal vi se at det er et stort marked for kredittderivater etter finanskrisen, men da i en vridning mot syntetiske varianter. Men framtidsutsiktene er usikre, da disse produktene er i en særstilling når det gjelder nye reguleringer.
openaire +1 more source
A note on the risk management of CDOs [PDF]
The purpose of this note is to describe a risk management procedure applicable to options on large credit portfolios such as CDO tranches on iTraxx or CDX.
Jean-Paul Laurent
core
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
core
Investigating the determinants of corporate bond credit spreads in the euro area
, 2023 Letta S, Mirante P.
europepmc +1 more source
CDS SPREADS DETERMINANTS OF CONTRACTS INCLUDED IN MARKIT ITRAXX EUROPE SENIOR FINANCIALS INDEX [PDF]
Acta academica karviniensia, 2015 openaire +1 more source
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
Do banks' overnight borrowing rates lead their CDS Price? evidence from the Eurosystem
, 2015 We construct a measure of a bank’s relative creditworthiness from Eurosystem’s proprietary overnight loan data: the bank’s “average overnight borrowing rate spread, relative to overnight rate index” (AOR).
Jokivuolle, Esa +2 more
core