Results 71 to 80 of about 1,374 (92)
Hedging iTraxx CDS Index Trading on an Intraday Basis: An Empirical Study [PDF]
SSRN Electronic Journal, 2013 In this paper we examine the effectiveness of intraday hedging models for CDS index trading by means of more liquidly traded exchange-based future contracts. We consider the equity and BUND future as financial instruments to hedge standard 5Y iTraxx Euro Main and Crossover indices.
Tim Brunne, Cheng-Ran Du
openaire +2 more sources
Correlation between the Recovery Rate and the State of an Economy - Application on the iTraxx
SSRN Electronic Journal, 2008 This paper studies the relationship between the recovery rate (RR) and the state of an economy (SE) in the traditional Monte Carlo credit risk model introduced by Li (1999) for the pricing of structured credit derivatives. This effect is significant if we consider extreme tranches of collateralized debt obligations (CDOs), because they are only reached
Georges Hübner, Jean-Roch Sibille
openaire +3 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 ...
Julia Lu Fu, Justin Conway
openaire +3 more sources
Modelling the dependence structures of Australian iTraxx CDS index
Applied Economics, 2013 In contrast to market expectations, the correlation between credit default swap (CDS) spreads and their respective stock prices in Australia was found to be positive. The global financial crisis (GFC) affected the nonlinear association between the two asset classes with firms experiencing financial distress and stock prices plummeting.
Jean-Pierre Fenech +2 more
openaire +3 more sources
Review of Managerial Science, 2009 This paper tests whether (and to what extent) default risk dependencies changed during the subprime crisis in 2007 and 2008. This is done by applying a Goodness-of-fit test, based on the Rosenblatt transformation, to test various null hypotheses with respect to the copula function that describes the stochastic dependence between daily returns of six ...
Peter Grundke
openaire +3 more sources
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
openaire +3 more sources
& CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing
, 2008 openaire +2 more sources
CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for pricing iTraxx
, 2008 Jean-Michel Bourdoux +2 more
openalex