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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

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

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

Aversion Analysis

Allard, Marie; Bronsard, Camille; Gourieroux, Christian - Institut für Schweizerisches Bankwesen <Zürich>; … - 2002

Due to their underlying assumptions, the standard concepts of risk aversion and preference for the present are generally defined separately and represented by scalar measures, and this implies many shortcomings. More specifically, if measured by a scalar, the risk aversion remains unchanged,...

Persistent link: https://www.econbiz.de/10005858445

Multi-Currency Quadratic Models : Theory and Evidence

Leippold, Markus; Wu, Liuren - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

filter, to estimate a series of multi-currency quadratic models (MCQM) with LIBOR and swap rates from US and Japan and the …

Persistent link: https://www.econbiz.de/10005858853

Efficient Calibration of Trinomial Trees for One-Factor Short Rate Models

Leippold, Markus; Wiener, Zvi - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

In this paper we discuss the implementation of general one-factor short rate models with a trinomial tree. Taking the Hull-White model as a starting point, our contribution is threefold. First, we show how trees can be spanned using a set of general branching processes. Secondly, we improve...

Persistent link: https://www.econbiz.de/10005858854

Model Uncertainty, Bond Pricing and the Nonrobustness of Affine Term Structures

Barone-Adesi, Giovanni; Filipovic, Damir; Gagliardinia, … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003

We develop a continuous time general equilibrium model for the term structure of interest rates where economic agents are averse to model uncertainty and consider the possibility of a misspecified dynamic model for the latent risk factors driving interest rates. Aversion to model uncertainty is...

Persistent link: https://www.econbiz.de/10005858904