The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a … leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default … to model a credit quality process as an Itˆo integral withrespect to a Brownian motion with a stochastic volatility …

The current financial market crisis has impressively demonstrated the importance of aneffective credit risk management … for financial institutions. At the same time, the use and thevaluation of credit derivatives has been widely criticised as … a result of the crisis. Over the pastdecade, credit derivatives emerged as an important part of credit risk management …

Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such asthe iTraxx Europe have been used … in the credit derivatives market for price communication.During the financial crisis, implied correlations have been … quite volatile indicating thegrowing fraction of systematic credit risk of STCDOs. This paper analyses the determinantsof …

Banks and other lenders often transfer credit risk to liberate capital for further loan intermediation. This paper aims … to explore the design, prevalence and effectiveness of credit risk transfer (CRT). The focus is on the costs and benefits … for the efficiency and stability of the financial system. After an overview of recent credit risk transfer activity, the …

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the … development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their … credit portfolio by either approving or refusing a credit request. Having made a decision, there was hardly any chance to …

” of credit recovery risk.The structure “Sector Focus Fund” (SFF), which corresponds to the credit risk transferstrategy …

default models we studythreshold models where for each credit the underling ability-to-payprocess is a transformation of a … transformed in order to calibrate the model togiven marginal default distributions for each underlying credit. At thesame time the …

The paper analyses the factors influencing the credit spread of € denominated bonds andcredit default swaps. The … regression shows a significant difference of the credit spread ofcorporate floaters compared to straight bonds. The steepnes of … the yield curve leadssurprisingly to lower credit spreads. This is also true for a higher risk free rate. Theliquidity …

The Paper shows the evaluation of credit risky products. Default probabilities for riskadjusted cash flows or risk … part gives the arbitrage arguments for pricing credit defaultswaps. …