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Management von Risikokonzentrationen : praxisorientierter Umgang mit neuen Anforderungen nach SREP und MaRisk

Bärmann, Tim; Batz, Christian; Bembom, Tobias - 2018 - 2. Auflage

Persistent link: https://www.econbiz.de/10011796769

Theory and Calibration of Swap Market Models

Galluccio, Stefano; Huang, Zhijhang; Ly, Jean-Michel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

admissible sets of for-ward swap rates spanning a given tenor structure. We relate this conceptto results in graph theory by …

Persistent link: https://www.econbiz.de/10005858304

Pricing Bermudan Swaptions in a Stochastic-Volatility LIBOR Market Model

Valchev, Stoyan; Matache, Ana-Maria - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

This paper introduces a time-inhomogeneous parameterization of the forward LIBOR volatilities and analyzes its implications for the valuation of Bermudan swaptions. The model approximates the actual term structure of volatilities with a curve from a given set deﬁned by the parametric...

Persistent link: https://www.econbiz.de/10005858312

Convexity Adjustments and Forward Libor Model: Case of Constant Maturity Swaps

Lu, Yinqiu; Neftci, Salih - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

difference (spread) between the two-period CMS swap rates calcu-lated by convexity adjustment and Forward Libor Model. The spread … 0.8750 and 0.7939, respectively. Moreover,convexity adjustment yields CMS swap rates higher than Forward Libor Modeldoes …. Since the pricing using Forward Libor Model would be exact, we concludethat the convexity adjustment overestimates CMS swap …

Persistent link: https://www.econbiz.de/10005858548

Credit Default Swaps and Financial Crisis Prediction

Neftci, Salih; Oliveira Santos, Andre; Lu, Yinqiu - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

. Yet, default swap market has severalnovel aspects that have not received much attention. In this paper we studyan aspect …

Persistent link: https://www.econbiz.de/10005858549

A note on survival measures and the pricing of options on credit default swaps

Schoenbucher, Phillip J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this note the pricing of options on credit default swaps using the survival-measure -pricing technique is discussed. In particular, we derive amodiﬁcation of the famous Black (1976) futures pricing formula which appliesto options on CDS, and show how other pricing formulae can be easily...

Persistent link: https://www.econbiz.de/10005858552

Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets Information Sufficient to Evaluate Credit Risk?

Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …

Persistent link: https://www.econbiz.de/10005859382

The Pricing of Interest Rate and Credit Risks in Equity Returns : An Empirical Cross-Country Comparison

Chambet, Anthony; Gibson, Rajna - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

In this study, we examine whether changes in the investment opportunityset stemming from interest rate and credit risks are priced in the US, theUK and the Swiss equity premia by estimating both two-factor and three-factor versions of Mertons ICAPM. The systematic pricing of credit riskis...

Persistent link: https://www.econbiz.de/10005857973

Dependent Credit Migrations

Wendin, Jonathan; McNeil, Alexander J. - Institut für Schweizerisches Bankwesen <Zürich>; … - 2005

This paper examines latent risk factors in models for migration risk. We employ thestandard statistical framework for ordered categorical variables and induce dependencebetween migrations by means of latent risk factors. By assuming a Markov process forthe dynamics of the latent factors, the...

Persistent link: https://www.econbiz.de/10005857974

Credit Risk and Substainable Debt: A Model and Estimationsof Why the Euro is Stable in the Long-Run

Semmler, Willi; Woehrmann, Peter - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004

Sustainable debt has become a key issue in rating of private as well as sovereign debtors. The problem of how to estimate sustainable debt has also been at the center of debate over theAsian 1997-1998 financial crisis. If the external value of the currency depends on the external debt of a...

Persistent link: https://www.econbiz.de/10005858002