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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...
Persistent link: https://www.econbiz.de/10012944310
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Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
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Credit Default Swaps and Financial Risks in the 21st Century
Martin-Bujack, Karin - 2018
Swap (CDS). Through a literature review on financial risks from 2000-2015 we develop a conceptual map to assess the …
Persistent link: https://www.econbiz.de/10012932539
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A Note on Replicating a CDS Through a Repo and an Asset Swap
Giada, Lorenzo - 2013
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be …
Persistent link: https://www.econbiz.de/10013082586
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Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?
Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002
This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …
Persistent link: https://www.econbiz.de/10005843402
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Credit risk and the yen interest rate swap market
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 2000
measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze … the relationship between the swap spreads and credit risk variables.(...) …
Persistent link: https://www.econbiz.de/10005846834
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The Credit Default Swap (CDS) Market
Bouveret, Antoine - 2010
One of the earliest signs of the financial crisis in summer 2007 was the plunge in the indicaaes compiled from credit default swaps (CDSs) on a basket of subprime backed bonds. Recently, the worsening situation in the emerging countries has been perceptible in the steep rise of CDS spreads on...
Persistent link: https://www.econbiz.de/10013150711
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The Dynamics of Sovereign Yields Over Swap Rates in the Eurozone Market
David-Pur, Lior - 2020
We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign … yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign … bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …
Persistent link: https://www.econbiz.de/10012824253
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Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver - 2016
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection …
Persistent link: https://www.econbiz.de/10013008411
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Efficient hedging : cost versus shortfall risk
Föllmer, Hans; Leukert, Peter - 1999
An investor faced with a contingent claim may eliminate risk by (super-)hedging in a financial market. As this is often quite expensive, we study partial hedges, which require less capital and reduce the risk. In a previous paper we determined quantile hedges which succeed with maximal...
Persistent link: https://www.econbiz.de/10009579176