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Credit risk calibration based on CDS spreads

Chao, Shih-kang; Härdle, Wolfgang; Thu, Hien Pham - 2014

As observed in the financial crisis, CDS spreads tend to increase simutaneously as a reaction to common shocks. Focusing on the spillover effects triggered by extreme events, we propose a credit risk analysis tool by applying credit default swap spread returns to the concept of 4CoVaR suggested...

Persistent link: https://www.econbiz.de/10010354176

Functional principal component analysis for derivatives of multivariate curves

Grith, Maria; Härdle, Wolfgang; Kneip, Alois; Wagner, Heiko - 2016

We present two methods based on functional principal component analysis (FPCA) for the estimation of smooth derivatives … decomposition to a) the dual covariance matrix of the derivatives, and b) the dual covariance matrix of the observed curves. To …

Persistent link: https://www.econbiz.de/10011530075

Manager characteristics and credit derivative use by US corporate bond funds

Gałkiewicz, Dominika - 2015

use these credit derivatives. Results suggest that a manager’s education, age, experience, and skill are positively …

Persistent link: https://www.econbiz.de/10010503878

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

Modelling the dynamics of credit derivatives is a challenging task in finance and economics. The recent crisis has …

Persistent link: https://www.econbiz.de/10009763975

Common factors in credit defaults swaps markets

Chen, Yi-Hsuan; Härdle, Wolfgang - 2012

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

Persistent link: https://www.econbiz.de/10009634306

The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends

Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014

It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...

Persistent link: https://www.econbiz.de/10010399421

Galkiewicz, Dominika Paula - 2014

This study analyzes current regulation with respect to the use of derivatives and leverage by mutual funds in the U … using derivatives beyond their net assets (e.g., by selling credit default swaps protection with a notional amount equal to … derivatives up to the point at which it is possible for them to default solely due to investments in derivatives. The results of …

Persistent link: https://www.econbiz.de/10010402939

Using transfer entropy to measure information flows between financial markets

Dimpfl, Thomas; Peter, Franziska Julia - 2012

We use transfer entropy to quantify information flows between financial markets and propose a suitable bootstrap procedure for statistical inference. Transfer entropy is a model-free measure designed as the Kullback-Leibler distance of transition probabilities. Our approach allows to determine,...

Persistent link: https://www.econbiz.de/10009578785

Loss potential and disclosures related to credit derivatives : a cross-country comparison of corporate bond funds under US and German regulation

Gałkiewicz, Dominika - 2015

restricting the speculative use of derivatives by funds to a reasonable level, as well as implement more standardized disclosure …

Persistent link: https://www.econbiz.de/10010503880

Pitfalls and perils of financial innovation : the use of CDS by corporate bond funds

Adam, Tim; Güttler, André - 2015

We use the financial crisis of 2007-2009 as a laboratory to examine the costs and benefits of teams versus single managers in asset management. We find that when a fund uses complex trading strategies involving the use of CDS team-managed funds outperform solo-managed funds. This may be due to...

Persistent link: https://www.econbiz.de/10010503931