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In 2007 an international financial crisis developed and specialised financial products known as credit derivatives … experts have suggested in controlling the perceived excesses of the credit derivatives industry. These solutions were then … critically examined, by interviewing financial experts who deal in credit derivatives, to determine whether these solutions are …
Persistent link: https://www.econbiz.de/10009447649
credit derivatives. This paper will examine the governmental and private regulatory systems that aided the proliferation of …
Persistent link: https://www.econbiz.de/10009475413
Credit derivatives are among the most criticized financial instruments in the current credit crises. Given their short … in credit derivatives, especially in turbulent market conditions.Many credit portfolios have been struggling to find out … data analysis and statistical methods.In Chapter One we provide a snapshot of credit derivatives market by summarizing …
Persistent link: https://www.econbiz.de/10009466071
This chapter, from the forthcoming Research Handbook on the Economics of Corporate Law (Claire Hill & Brett McDonnell, eds.), provides an introduction to the law and economic theory relating to creditors and debt governance.The chapter begins with a look at the traditional role of debt, focusing...
Persistent link: https://www.econbiz.de/10009467527
computational methods for the valuation of credit derivatives.Compared with synthetic collateralized debt obligations (CDOs) or …
Persistent link: https://www.econbiz.de/10009455259
In this thesis, I imply a forward-looking systematic factor from CDO market spreads; I show that this factor is a measure of CDO market's expectation of future default correlation, and I empirically show that it is positively related to bond credit spreads. From this, I infer that corporate bond...
Persistent link: https://www.econbiz.de/10009455367
relevant crop.Weather derivatives - which farmers may employ to ensure crops against adverse temperatures -do exist, but these … are used chiefly by energy companies. SomeSouth African over-the-counter weather derivatives are available, but trading in … these is rare andseldom used.The goal of this dissertation is to establish a pricing equation for weather derivatives …
Persistent link: https://www.econbiz.de/10009456002
of investors to hedge this risk, the market uses creditderivatives.The South African credit derivatives market is still … most popular credit derivatives in theSouth African financial markets. …
Persistent link: https://www.econbiz.de/10009457847
The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...
Persistent link: https://www.econbiz.de/10009462191
price credit derivatives, namely collateralized debt obligations (CDOs) using indifference.We develop a numerical algorithm … traded assets creates a veryincomplete market. We explain the market-observed prices of such credit derivatives via therisk …
Persistent link: https://www.econbiz.de/10009429323