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CDS and credit: the effect of the bangs on credit insurance, lending and hedging
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023
Persistent link: https://www.econbiz.de/10014483049
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Affine pricing and hedging of collateralized debt obligations
Eksia, Zehra; Filipović, Damir - 2020
Persistent link: https://www.econbiz.de/10012419633
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Backtesting marginal expected shortfall and related systemic risk measures
Banulescu, Denisa; Hurlin, Christophe; Leymarie, Jérémy; … - 2019
This paper proposes an original approach for backtesting systemic risk measures. This backtesting approach makes it …
Persistent link: https://www.econbiz.de/10012101182
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Pricing and hedging of inflation-indexed bonds in an affine framework
Eksi, Zehra; Filipović, Damir - 2013
This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the … for the factor process. Then, we perform a novel hedging analysis where our objective is to replicate an indexed bond of a … given maturity by trading a portfolio of nominal bonds. This analysis leads to a hedging criterion based on a set of …
Persistent link: https://www.econbiz.de/10010257509
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Hedging under an expected loss constraint with small transaction costs
Bouchard, Bruno; Moreau, Ludovic; Soner, Halil Mete - 2014
We consider the problem of option hedging in a market with proportional transaction costs. Since super-replication is … very costly in such markets, we replace perfect hedging with an expected loss constraint. Asymptotic analysis for small …
Persistent link: https://www.econbiz.de/10010442924
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Linear credit risk models
Ackerer, Damien; Filipović, Damir - 2016
We introduce a novel class of credit risk models in which the drift of the survival process of a firm is a linear function of the factors. The prices of defaultable bonds and credit default swaps (CDS) are linear-rational in the factors. The price of a CDS option can be uniformly approximated by...
Persistent link: https://www.econbiz.de/10011516035
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Pay attention or pay extra : evidence on the compensation of investors for the implicit credit risk of structured products
Arnold, Marc; Schuette, Dustin; Wagner, Alexander F. - 2014
We investigate the compensation of counterparty exposure in the prices of structured products. Our analysis reveals that product issuers do not compensate retail investors for counterparty exposure before the Lehman default. Post-Lehman, retail prices no longer neglect this risk. We also measure...
Persistent link: https://www.econbiz.de/10010410201
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Back to the roots of internal credit risk models : why do banks' risk-weighted asset levels converge over time?
Böhnke, Victoria; Ongena, Steven; Paraschiv, Florentina; … - 2022
The internal ratings-based (IRB) approach maps banks’ risk profiles more adequately than the standardized approach. After switching to IRB, banks’ risk-weighted asset (RWA) densities are thus expected to diverge, especially across countries with different supervisory strictness and risk...
Persistent link: https://www.econbiz.de/10013192085
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A deep learning approach to estimate forward default intensities
Divernois, Marc-Aurèle - 2020 - Preliminary draft
This paper proposes a machine learning approach to estimate physical forward default intensities. Default probabilities are computed using artificial neural networks to estimate the intensities of the inhomogeneous Poisson processes governing default process. The major contribution to previous...
Persistent link: https://www.econbiz.de/10012419329
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Interest rate pass-through and bank risk-taking under negative-rate policies with tiered remuneration of central bank reserves
Basten, Christoph; Mariathasan, Mike - 2020
We identify the effects of negative interest rate policies on bank behavior using difference-in differences identification and data on all Swiss banks. First, we find that going negative can interrupt not only the pass-through from policy to deposit rates, but also that to mortgage rates....
Persistent link: https://www.econbiz.de/10012419657