Results 61 to 70 of about 1,377 (94)

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, Ostap Okhrin, Wolfgang Härdle   +2 more
core  

The CDO market Functioning and implications in terms of financial stability. [PDF]

The result of relatively recent financial innovations, collateralised debt obligations (CDOs) are securities that represent a portfolio of bank loans and/or different financial instruments.
Cousseran, O., Rahmouni, I.
core  

The Janus-headed salvation: sovereign and bank credit risk premia during 2008-09

, 2009
As the global banking crisis intensified in the fall of 2008, governments announced comprehensive rescue packages for financial institutions. In this paper, we put the joint response of euro area bank and sovereign CDS premia under the microscope.
Ejsing, Jacob, Lemke, Wolfgang
core  

Does BRRD mitigate the bank-to-sovereign risk channel? [PDF]

PLoS One
Lamers M, Present T, Soenen N, Vennet RV.   +3 more
europepmc   +1 more source

Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices [PDF]

SSRN Electronic Journal, 2006
This paper investigates the determinants of the iTraxx CDS Europe indices, finding strong evidence that they are regime dependent. During volatile periods credit spreads become highly sensitive to stock volatility and more sensitive to this than to stock returns. They are also almost immune to interest rates changes.
Carol Alexander, Andreas Kaeck
core   +6 more sources

Implied correlations of iTraxx tranches during the financial crisis [PDF]

, 2010
Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of systematic credit risk of STCDOs.
Heidorn, Thomas, Kahlert, Dennis
core   +7 more sources

CreditGrades and the iTraxx CDS Index Market

Financial Analysts Journal, 2006
In the study reported, the CreditGrades model was used to calculate credit default swap spreads and the spreads were compared with empirically observed CDS spreads for eight iTraxx indices covering Europe. Theoretical and empirical spread changes were found to be significantly correlated.
Hans Byström
  +5 more sources

Estimating Option-Implied Correlation between iTraxx Europe Financial and Corporate Sub-Indexes [PDF]

SSRN Electronic Journal, 2012
This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spillover effect of default risk between the financial and corporate sectors in Europe.
Cho-hoi Hui, Chi-fai Lo, Chun-sing Lau
  +7 more sources