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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...
Persistent link: https://www.econbiz.de/10005082786
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen stock composite indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010750766
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Pricing bivariate option under GARCH processes with time-varying copula
Zhang, Jing; Guegan, Dominique - HAL - 2008
Heteroskedastic (GARCH) process. As the association between the underlying assets may vary over time, the dynamic copula with time …-varying parameter offers a better alternative to any static model for dependence structure and even to the dynamic copula model … Shanghai and Shenzhen Stock Composite Indexes. Results show that the option prices obtained by the time-varying copula model …
Persistent link: https://www.econbiz.de/10010738655
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Modeling Multivariate Interest Rates using Time-Varying Copulas and Reducible Stochastic Differential Equations
Bu, Ruijun; Giet, Ludovic; Hadri, Kaddour; Lubrano, Michel - HAL - 2009
structure of the two rates using Patton (2006a) time-varying Symmetrised Joe-Clayton copula. We find evidence of asymmetric …
Persistent link: https://www.econbiz.de/10008793845
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Stress-Test Exercises and the Pricing of Very Long-Term Bonds
Dubecq, Simon - Université Paris-Dauphine (Paris IX) - 2013
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess the impact of a modification of the whole distribution of asset prices’ factors, rather than focusing as the common practices...
Persistent link: https://www.econbiz.de/10011074681
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Credit Default Swaps, Contract Theory, Public Debt, and Fiat Money Regimes: Comment on Polleit and Mariano
Méra, Xavier - HAL - 2013
In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the...
Persistent link: https://www.econbiz.de/10010820940
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Les Dérivés de Crédit: Étude Des Répercussions de la Prime de Risque de la Variance (PRV) Sur Les (Credit Default Swap)
Zgolli, Ghada - HAL - 2012
Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...
Persistent link: https://www.econbiz.de/10010821297
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Les dérivés de crédit : instruments de couverture et facteurs d'instabilité. L'exemple des « Credit Default Swap ».
Rey, Nathalie - HAL - 2007
Cet article montre, à partir d'une analyse sur longue période 2001-2007 des relations inter temporelles entre les marchés français des credit default swap (CDS), des actions et des obligations, comment une innovation financière comme les CDS pourrait être à l'origine d'une instabilité...
Persistent link: https://www.econbiz.de/10008792905
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Credit derivatives: instruments of hedging and factors of instability. The example of “Credit Default Swaps” on French reference entities.
Rey, Nathalie - HAL - 2009
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...
Persistent link: https://www.econbiz.de/10008793681