Results 61 to 70 of about 1,617 (102)
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
core
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
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
Investigating the determinants of corporate bond credit spreads in the euro area
, 2023 Letta S, Mirante P.
europepmc +1 more source
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
core
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
core
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
core
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
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