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Volatility investing with variance swaps
Härdle, Wolfgang; Silyakova, Elena - 2010
investors began to look at volatility from a different angle. It happened due to emergence of a market for new derivative … swaps on DAX and its constituents during the 5-years period from 2004 to 2008. -- Conditional Variance Swap ; Corridor … Variance Swap ; Dispersion Trading ; Gamma Swap ; Variance Swap ; Volatility Replication ; Volatility Trading …
Persistent link: https://www.econbiz.de/10003952648
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A consistent framework for modelling basis spreads in tenor swaps
Yang, Chang; Schlögl, Erik - 2014
Persistent link: https://www.econbiz.de/10011344803
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Pricing a collateralized derivative trade with a funding value adjustment
Hunzinger, Chadd B.; Labuschagne, Coenraad C. A. - In: Journal of risk and financial management : JRFM 8 (2015) 1, pp. 17-42
The 2008 credit crisis changed the manner in which derivative trades are conducted. One of these changes is the posting … adjustment to derivative prices, known as a funding value adjustment (FVA), which is interlinked with the posting of collateral … price of a collateralized derivative. The fact that the two models coincide is also verified by numerical implementation of …
Persistent link: https://www.econbiz.de/10011552865
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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis …
Persistent link: https://www.econbiz.de/10010399421
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Effective implementation of generic market models
Joshi, Mark S. (contributor); Liesch, Lorenzo (contributor) - 2006
Persistent link: https://www.econbiz.de/10003297279
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Credit risk transfer, real sector productivity, and financial deepening
Behr, Patrick (contributor); Lee, Samuel (contributor) - 2005
We derive the effects of credit risk transfer (CRT) markets on real sector productivity and on the volume of financial intermediation in a model where banks choose their optimal degree of CRT and monitoring. We find that CRT increases productivity in the up-market real sector but decreases it in...
Persistent link: https://www.econbiz.de/10002844073
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An empirical comparison of default swap pricing models
Houweling, Patrick (contributor); Vorst, Ton (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001658554
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An empirical comparison of default swap pricing models
Houweling, Patrick; Vorst, Ton - 2001
Persistent link: https://www.econbiz.de/10001639524
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Cash-Settled Swaptions : How Wrong are We?
Henrard, Marc P. A. - 2011
The pricing of the European cash-settled swaptions is analysed. The standard market formula results are compared to results obtained from different models. Significant discrepancies are observed, justifying the title
Persistent link: https://www.econbiz.de/10013132576