Showing 1 - 10 of 14
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10014355578
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10011975602
comprehensive analysis of the structure of the euro area interest rate swap (IRS) market after the start of the mandatory clearing …
Persistent link: https://www.econbiz.de/10012040065
The purpose of this paper is to review the literature on inflation-adjusted bonds, swaps, and derivatives. The methodology for valuation and risk management of these securities is an application of the foreign currency extension of a standard HJM term structure model. The two “currencies” in...
Persistent link: https://www.econbiz.de/10013293658
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
, Credit Default Swap (CDS), and Asset Swap (ASP). Using daily data from 2005 to 2009, we find that credit spread returns are …
Persistent link: https://www.econbiz.de/10013115436
economics. Divided into three parts, Part I concerns option pricing theory and its foundations. The papers here deal with the … famous Black-Scholes-Merton model, characterizations of the American put option, and the first applications of arbitrage …
Persistent link: https://www.econbiz.de/10013156482
This paper uses a bottom-up, reduced form credit risk model with hazard rate estimated default probabilities to compute various collateralized loan obligation (CLO) tranches’ loss probabilities and capital factors. It is shown that with respect to the loss probabilities, credit rated CLO...
Persistent link: https://www.econbiz.de/10014355604
Persistent link: https://www.econbiz.de/10003972605
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10003782657