Results 61 to 70 of about 1,396 (101)
Credit Default Swap Spreads: Funding Liquidity Matters! [PDF]
, 2018 This paper explores the relationship between funding liquidity and credit default swap (CDS) spreads, evidencing the effects of the regulatory changes brought about by the introduction of the CDS Small Bang reforms for CDS contracts on European reference
Banti, Chiara +2 more
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Levy Density Based Intensity Modeling of the Correlation Smile [PDF]
The jump distribution for the default intensities in a reduced form framework is modeled and calibrated to provide reasonable fits to CDX.NA.IG and iTraxx Europe CDOs, to 5, 7 and 10 year maturities simultaneously.
Balakrishna, B S
core +1 more source
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
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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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
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
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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
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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
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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