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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
Reference Entities and Creditors -- Chapter 11: Inter-Market Basis Relations -- Chapter 12: Inter-Connectedness and Systemic …
Persistent link: https://www.econbiz.de/10012396816
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Credit Risk Management for Derivatives : Post-Crisis Metrics for End-Users
Zelenko, Ivan - 2017
This Palgrave Pivot assesses the impact of the regulatory framework for derivatives built post-crisis and examines its ambition to centralize and minimize credit risk, enhance transparency, and regain control. Zelenko delves into the powerful destabilizing forces exerted by derivatives markets...
Persistent link: https://www.econbiz.de/10012397183
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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
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Recovery Risk in Credit Default Swap Premia
Schläfer, Timo - 2011
The finance literature looks at a number of factors to explain risk premia in corporate debt, such as liquidity effects, jump-to-default risk, and contagion risk. Stochastic recovery rates as a source of systematic risk have not received much attention so far, most likely due to the difficulties...
Persistent link: https://www.econbiz.de/10014015311
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The Economics of Bank Bankruptcy Law
Marinč, Matej - 2012
1 Introduction -- 2 General Issues in Bankruptcy Law -- 3 Are Banks Special? Implications for Bank Bankruptcy Law -- 4 … Systemic Crises -- 5 General Issues on the structure of Banking Industry -- 6 Current Bank Bankruptcy Regimes and Recent … Developments -- 7 Optimal Design of Bank Bankruptcy Law and the Bank Failures from the 2007-2009 Financial Crisis -- 8 Conclusions …
Persistent link: https://www.econbiz.de/10014015529
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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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Credit Default Swaps und Informationsgehalt
Wagner, Eva - 2008
Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … 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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Currency Wars : Offense and Defense through Systemic Thinking
Yi-Lin Forrest, Jeffrey; Gong, Zaiwu; Ying, Yirong - 2018
looking at the issues of monetary movement around the world, this book shows that there are clearly visible patterns behind ….S. Dollar Go? -- Chapter 23. Where will Chinese Yuan Go? -- Chapter 24. Avoiding Currency Wars with a Single World Currency? …
Persistent link: https://www.econbiz.de/10012397681
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Finanzsystemstabilität, systemisches Risiko und Bailout-Instrumente : eine Analyse staatlich induzierter Bankenrettungsmaßnahmen
Stolz-Gerhardt, Vera - 2019
die in der Finanzkrise 2007 - 2009 etablierten staatlich induzierten Bankenrettungsmaßnahmen (Bailouts). Sie zeigt auf …
Persistent link: https://www.econbiz.de/10012401800