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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By...
Persistent link: https://www.econbiz.de/10010399421
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Credit risk calibration based on CDS spreads
Chao, Shih-kang; Härdle, Wolfgang; Thu, Hien Pham - 2014
volatility and implementing the variable selection technique least absolute shrinkage and selection operator (LASSO), the results …
Persistent link: https://www.econbiz.de/10010354176
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Empirical pricing kernels and investor preferences
Detlefsen, Kai (contributor); Härdle, Wolfgang (contributor) - 2007
three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility …
Persistent link: https://www.econbiz.de/10003633572
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Estimation of default probabilities with Support Vector Machines
Chen, Shiyi (contributor); Härdle, Wolfgang (contributor);  … - 2006
risk scores obtained for classification. This evidence is stronger than empirical results for the CAPM based on a linear … ; Bankruptcy ; Default Probabilities Prediction ; Expected Profitability ; CAPM …
Persistent link: https://www.econbiz.de/10003402291
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Adaptive interest rate modelling
Guo, Mengmeng; Härdle, Wolfgang - 2010
A good description of the dynamics of interest rates is crucial to price derivatives and to hedge corresponding risk. Interest rate modelling in an unstable macroeconomic context motivates one factor models with time varying parameters. In this paper, the local parameter approach is introduced...
Persistent link: https://www.econbiz.de/10003973636
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Common factors in credit defaults swaps markets
Chen, Yi-Hsuan; Härdle, Wolfgang - 2012
We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....
Persistent link: https://www.econbiz.de/10009634306
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Numerics of implied binomial trees
Härdle, Wolfgang (contributor);  … - 2008
, especially on the BS implied volatility. Implied binomial trees (IBT) models capture the variations of the implied volatility … known as "volatility smile". They provide a discrete approximation to the continuous risk neutral process for the underlying … Barle and Cakici (BC). After the formation of IBT we can estimate the implied local volatility and the state price density …
Persistent link: https://www.econbiz.de/10003727608
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Modeling asset prices
Gentle, James E.; Härdle, Wolfgang - 2010
time diffusion models ; models with jumps ; stochastic volatility ; GARCH …
Persistent link: https://www.econbiz.de/10003973644
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Localising forward intensities for multiperiod corporate default
Prastyo, Dedy Dwi; Härdle, Wolfgang - 2014
Using a local adaptive Forward Intensities Approach (FIA) we investigate multiperiod corporate defaults and other delisting schemes. The proposed approach is fully datadriven and is based on local adaptive estimation and the selection of optimal estimation windows. Time-dependent model...
Persistent link: https://www.econbiz.de/10010403045