Die Subprime-Krise am US-amerikanischen Markt für verbriefte zweitrangige Hypothekenforderungen hat verdeutlicht, dass verschiedene Friktionen in der Wertschöpfungskette von Verbriefungen bestehen. Julia Scholz untersucht verschiedene, bislang in der Literatur wenig beachtete, aber für die...

After the credit crisis, supervisors enacted a range of financial reforms. In particular, they radically changed the nature of the OTC derivatives market via a number of measures, notably mandatory central clearing. This book discusses the market before the crisis, explains what central clearing...

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi zienz -- Asymmetrische Informationsverteilung am CDS-Markt -- CDS-, Anleihe- und Aktienmarkt -- Empirische Untersuchung zum Zusammenhang des CDS— und Aktienmarktes sowie zur...

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...

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,...

Past cycles of sovereign lending and default suggest that debt crises will recur at some point. This book shows why investors should reckon with similar credit events in the future. Surveying the sovereign bond market, the author provides investors with a useful toolkit for analyzing sovereign...

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...

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...