novating trades implements efficient trading behaviour. It is optimal for the CCP to face default losses to achieve the … efficient level of trade. To cover these losses, the CCP optimally uses margin calls, and, as the default problem becomes more … severe, also requires default funds and then imposes position limits. …

with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …

This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period …

with both macroeconomic and idiosyncratic components. The examined properties include expected loss, loss given default … bonds with the same rating. In particular, loss given default, the sensitivities to macroeconomic risk, and model risk …