Results 61 to 70 of about 1,390 (89)

A Semi-Analytical Parametric Model for Dependent Defaults [PDF]

A semi-analytical parametric approach to modeling default dependency is presented. It is a multi-factor model based on instantaneous default correlation that also takes into account higher order default correlations. It is capable of accommodating a term
Balakrishna, B S
core   +1 more source

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

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 default swaps and financial stability: risks and regulatory issues. [PDF]

The credit default swap (CDS) market has grown much faster than other derivatives markets since its inception. Even though it is dwarfed by the interest rate derivatives market, which is eight times larger, its growth has affected the stability of the ...
Duquerroy, A., Gauthier, N., Gex, M.
core  

Risk Spillovers in Oil-Related CDS, Stock and Credit Markets [PDF]

This paper examines risk transmission and migration among six US measures of credit and market risk during the full period 2004-2011 period and the 2009-2011 recovery subperiod, with a focus on four sectors related to the highly volatile oil price. There
Chia-Lin Chang, Michael McAleer, Shawkat Hammoudeh, Tengdong Liu   +3 more
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

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Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017

Studies in Economics and Finance, 2019
PurposeThe aim of this research is twofold. First, we study average levels of liquidity for long-run through-the-cycle periods, which potentially allow eliminating procyclicality from risk parameters used for expected credit-loss calculations. Second, we investigate to what extent the relative illiquidity of individual credit default swap (CDS ...
Mariya Gubareva
exaly   +2 more sources

An index of European loan credit default swaps: iTraxx LevX

Law and Financial Markets Review, 2008
The Markit iTraxx LevX indices are based on terms published by the International Swaps and Derivatives Association and intended to enable market participants to hedge or assume systemic risks more efficiently. Designed for the European leveraged loan market often characterised by insufficient information, these indices use a continuity procedure in ...
Justin Conway, Julia Lu Fu
exaly   +2 more sources