Results 61 to 70 of about 1,374 (92)

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  

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  

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

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

Characteristic of Implied Volatility of CDSwaptions in ITraxx Market and its Relationship to Stock Market [PDF]

SSRN Electronic Journal, 2009
We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM analysis show that only the stock market contribute to price
David B. Colwell, Ramaprasad Bhar, Peipei Wang   +2 more
openaire   +2 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