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Credit Default Swaps und Informationsgehalt

Wagner, Eva - 2008

zienz -- Asymmetrische Informationsverteilung am CDS-Markt -- CDS-, Anleihe- und Aktienmarkt -- Empirische Untersuchung zum …

Persistent link: https://www.econbiz.de/10013517112

Sovereign Default Risk Valuation : Implications of Debt Crises and Bond Restructurings

Andritzky, Jochen (contributor) - 2006

investors should reckon with similar credit events in the future. Surveying the sovereign bond market, the author provides … market value recovery. An extension into credit default swap markets explains why bond and CDS spreads diverge during … distress. This survey of the sovereign bond market provides investors with a useful toolkit for analyzing sovereign bonds and …

Persistent link: https://www.econbiz.de/10013520644

Asymmetric Cost Behavior : Implications for the Credit and Financial Risk of a Firm

Reimer, Kristina - 2019

The thesis of Kristina Reimer provides a comprehensive analysis of asymmetric cost behavior (also known as cost stickiness) by discussing its origin and development in the theoretical and empirical research from the 1920s of the past century up until today. Further, using an empirical approach,...

Persistent link: https://www.econbiz.de/10012395868

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

Pricing and Liquidity of Complex and Structured Derivatives : Deviation of a Risk Benchmark Based on Credit and Option Market Data

Schmidt, Mathias - 2016

This book introduces the “strike of default” (SOD) benchmark concept. The author determines the SOD through cross-sectional pricing between the credit market and the option market, considering the same underlying. The idea of the SOD is to combine the implied probability of default from both...

Persistent link: https://www.econbiz.de/10012397112

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

Impact of Government Bonds Spreads on Credit Derivatives : Analysis of Increasing Spreads Developments within the European Area

Berger, Verena Anna - 2018

government bond yields within the European area. In the first step, these spreads are computed with the help of the Hull … bond spread increase Target Groups • Lecturers and students of finance, asset management • Experts in asset management …, sovereign bond markets and credit default swaps The Author Verena Anna Berger graduated from the University of Applied Science …

Persistent link: https://www.econbiz.de/10012397669

Credit Correlation : Theory and Practice

Elouerkhaoui, Youssef - 2017

This book provides an advanced guide to correlation modelling for credit portfolios, providing both theoretical underpinnings and practical implementation guidance. The book picks up where pre-crisis credit books left off, offering guidance for quants on the latest tools and techniques for...

Persistent link: https://www.econbiz.de/10012397709

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

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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