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~institution:"Deutsche Bundesbank"
~institution:"HAL"
~institution:"Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München"
~subject:"Call-on-max option"
~subject:"cost"
~subject:"credit risk"
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Credit Default Swaps as Hedgin...
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Call-on-max option
cost
credit risk
Value-at-Risk
39
copula
17
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12
value-at-risk
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credit default swap
8
Expected Shortfall
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Basel II
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hedge
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Guegan, Dominique
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2
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2
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2
Sassi, Olivier
2
Vogt-Schilb, Adrien
2
Waisman, Henri
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Bouye, Eric
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Durlleman, Valdo
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Düllmann, Klaus
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Hourcade, Jean Charles
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Hourcade, Jean-Charles
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Nikeghbali, Ashkan
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Rey, Nathalie
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Deutsche Bundesbank
HAL
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5
Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
2
Banco de España
1
Booth, Richard A., Marbury Research Professor of Law
1
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO)
1
Department of Economics and Finance, College of Business and Economics
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
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RePEc
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1
Climate policies as a
hedge
against the uncertainty on future oil supply
Rozenberg, Julie
;
Hallegatte, Stéphane
;
Vogt-Schilb, Adrien
-
HAL
-
2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10009647577
Saved in:
2
Climate policies as a
hedge
against the uncertainty on future oil supply
Rozenberg, Julie
;
Hallegatte, Stéphane
;
Vogt-Schilb, Adrien
-
HAL
-
2010
Despite the inextricable link between oil scarcity and climate change, the interplay between these two issues is paradoxically an underworked area. This article uses a global energy-economy model to address the link between future oil supply and climate change and assesses in a common framework...
Persistent link: https://www.econbiz.de/10010738735
Saved in:
3
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
Saved in:
4
Pricing bivariate option under GARCH-GH model with dynamic
copula
: application for Chinese market
Guegan, Dominique
;
Zhang, Jing
-
HAL
-
2007
is used for innovations. As the association between the underlying assets may vary over time, the dynamic
copula
approach …-GH model with time-varying
copula
differ substantially from the prices implied by the GARCH-Gaussian dynamic
copula
model …
Persistent link: https://www.econbiz.de/10010750828
Saved in:
5
Pricing bivariate option under GARCH-GH model with dynamic
copula
: application for Chinese market
Guegan, Dominique
;
Zhang, Jing
-
HAL
-
2009
is used for innovations. As the association between the underlying assets may vary over time, the dynamic
copula
approach …-GH model with time-varying
copula
differ substantially from the prices implied by the GARCH-Gaussian dynamic
copula
model …
Persistent link: https://www.econbiz.de/10010738494
Saved in:
6
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
Saved in:
7
Copulas for finance
Bouye, Eric
;
Durlleman, Valdo
;
Nikeghbali, Ashkan
; …
-
Volkswirtschaftliche Fakultät, …
-
2000
random variables. However, the concept of
copula
is not popular in Finance. In this paper, we show that copulas can be …
Persistent link: https://www.econbiz.de/10011114301
Saved in:
8
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
Saved in:
9
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
Saved in:
10
Measuring business sector concentration by an infection model
Düllmann, Klaus
-
Deutsche Bundesbank
-
2005
Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable "infection model" can provide a meaningful estimate of the impact of...
Persistent link: https://www.econbiz.de/10005082800
Saved in:
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