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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008
Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … Kreditderivate-Marktes ist der Credit Default Swap. Eva Wagner stellt den Informationsgehalt von Credit Default Swap (CDS) dem … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …
Persistent link: https://www.econbiz.de/10013517112
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Recovery Risk in Credit Default Swap Premia
Schläfer, Timo - 2011
implements his approach using credit default swap data …
Persistent link: https://www.econbiz.de/10014015311
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A Structural Framework for the Pricing of Corporate Securities : Economic and Empirical Issues
Genser, Michael (contributor) - 2006
This book is the first comprehensive treatment of structural credit risk models for the simultaneous and consistent pricing of corporate securities. Through the development of a flexible economic framework based on the firm's EBIT, the reader is taken from the economic principles of firm value...
Persistent link: https://www.econbiz.de/10013520503
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Credit Default Swaps : Mechanics and Empirical Evidence on Benefits, Costs, and Inter-Market Relations
Culp, Christopher L.; Van der Merwe, Andria; Stärkle, … - 2018
This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as...
Persistent link: https://www.econbiz.de/10012396816
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Sovereign Default Risk Valuation : Implications of Debt Crises and Bond Restructurings
Andritzky, Jochen (contributor) - 2006
from a voluntary debt swap to a soft or hard restructuring. This book shows why investors should reckon with similar credit … market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during …
Persistent link: https://www.econbiz.de/10013520644
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Asymmetric Cost Behavior : Implications for the Credit and Financial Risk of a Firm
Reimer, Kristina - 2019
credit default swaps. Thereby she analyses the development of credit default swap market as well as the components of credit …
Persistent link: https://www.econbiz.de/10012395868
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Credit Risk Management : Pricing, Measurement, and Modeling
Witzany, Jiri - 2017
This book introduces to basic and advanced methods for credit risk management. It covers classical debt instruments and modern financial markets products. The author describes not only standard rating and scoring methods like Classification Trees or Logistic Regression, but also less known...
Persistent link: https://www.econbiz.de/10012397504
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Collateralized Debt Obligations : A Moment Matching Pricing Technique based on Copula Functions
Marcantoni, Enrico - 2014
The author focuses on a method to price Collateralized Debt Obligations (CDO) tranches. The original method is developed by Castagna, Mercurio and Mosconi in 2012. The Thesis provides an extension of the original work by generalizing the Gaussian dependence in terms of Copula functions. In...
Persistent link: https://www.econbiz.de/10014017445
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Pricing and Risk Management of Synthetic CDOs
Schlösser, Anna - 2011
Introduction -- Part I Fundamentals: Credit Derivatives and Markets -- Mathematical Preliminaries -- Part II Static Models: One Factor Gaussian Copula Model -- Normal Inverse Gaussian Factor Copula Model -- Part III: Term-Structure Models -- Large Homogeneous Cell Approximation for Factor Copula...
Persistent link: https://www.econbiz.de/10014015252
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Pricing Portfolio Credit Derivatives by Means of Evolutionary Algorithms
Hager, Svenja (contributor) - 2008
Svenja Hager aims at pricing non-standard illiquid portfolio credit derivatives which are related to standard CDO tranches with the same underlying portfolio of obligors. Instead of assuming a homogeneous dependence structure between the default times of different obligors, as it is assumed in...
Persistent link: https://www.econbiz.de/10013521042