Similar Search Results

Copula sensitivity in collateralized debt obligations and basket default swaps

Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70

Persistent link: https://www.econbiz.de/10001850813

Price convergence between credit default swap and put option : new evidence

Chan, Ka Kei; Kolokolova, Olga; Lin, Ming-Tsung; Poon, … - In: Journal of empirical finance 72 (2023), pp. 188-213

Persistent link: https://www.econbiz.de/10014476820

The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach

Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471

Persistent link: https://www.econbiz.de/10012817941

Credit default swaps and firm risk

Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692

Persistent link: https://www.econbiz.de/10014432924

A credit-risk valuation under the variance-gamma asset return

Ivanov, Roman V. - In: Risks : open access journal 6 (2018) 2, pp. 1-25

This paper considers risks of the investment portfolio, which consist of distributed mortgages and sold European call options. It is assumed that the stream of the credit payments could fall by a jump. The time of the jump is modeled by the exponential distribution. We suggest that the returns...

Persistent link: https://www.econbiz.de/10011867389

Extreme portfolio loss correlations in credit risk

Mühlbacher, Andreas; Guhr, Thomas - In: Risks : open access journal 6 (2018) 3, pp. 1-25

The stability of the financial system is associated with systemic risk factors such as the concurrent default of numerous small obligors. Hence, it is of utmost importance to study the mutual dependence of losses for different creditors in the case of large, overlapping credit portfolios. We...

Persistent link: https://www.econbiz.de/10011890684

Managing systematic mortality risk in life annuities : an application of longevity derivatives

Fung, Man Chung; Ignatieva, Ekaterina; Sherris, Michael - In: Risks : open access journal 7 (2019) 1/2, pp. 1-25

This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap for a life annuity …

Persistent link: https://www.econbiz.de/10012018726

Currency-protected swaps and swaptions with nonzero spreads in a multicurrency LMM

Chang, Jui-jane; Chen, Son-nan; Wu, Ting-pin - In: The journal of futures markets 33 (2013) 9, pp. 827-867

Persistent link: https://www.econbiz.de/10009779065

The effect of mean-reverting processes in the pricing of options in the energy market : an arithmetic approach

Schmeck, Maren Diane; Schwerin, Stefan - In: Risks : open access journal 9 (2021) 5, pp. 1-19

have on the price of a call option on a swap. Our model allows for seasonal effects, spikes, and negative values of the … price of electricity. We show that for sufficiently large delivery periods of the swap contract, the error that one makes by … determine an explicit closed-form formula for the price of the call on a swap. The theoretical analysis is then illustrated via …

Persistent link: https://www.econbiz.de/10012597100

Derivatives pricing on integrated diffusion processes : a general perturbation approach

Li, Minqiang - In: The journal of futures markets 35 (2015) 6, pp. 582-595

Persistent link: https://www.econbiz.de/10011405411