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Empirical Analysis of Credit Risk Regime Switching and Temporal Conditional Default Correlation in Credit Default Swap Valuation: The Market liquidity effect
Dunbar, Kwamie; Edwards, Albert J. - 2007
In this paper, we extend the debate concerning Credit Default Swap valuation to include time varying correlation and co … on Credit Default Swap data obtained from Bloomberg that spanned the period January 1st 2004 to August 08th 2006. The … that the time varying joint correlation matrix performed far superior as compared to the constant correlation matrix; the …
Persistent link: https://www.econbiz.de/10009430120
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Boom-bust cycles, imbalances and discipline in Europe : dynamics during financial stress
Alberola Ila, Enrique; Molina Sánchez, Luis; Río … - 2012
The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...
Persistent link: https://www.econbiz.de/10012530382
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Solving the Non-Linear Dynamic Asset Allocation Problem: Effects of Arbitrary Stochastic Processes and Unsystematic Risk on the Super Efficient Portfolio Space
Dunbar, Kwamie - 2009
underlying Modern Portfolio Theory's dynamic optimization framework. The paper derives a general outline of a stochastic …
Persistent link: https://www.econbiz.de/10009430131
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The Effects of Credit Risk on Dynamic Portfolio Management: A New Computational Approach
Dunbar, Kwamie - 2009
The study investigates the role of credit risk in a continuous time stochastic asset allocation model, since the traditional dynamic framework does not provide credit risk flexibility. The general model of the study extends the traditional dynamic efficiency framework by explicitly deriving the...
Persistent link: https://www.econbiz.de/10009430231
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Kreditderivate. Konstruktion, Bewertung und Nutzung.
Kässbohrer, Thomas - 1998
des Marktes hindeuten:¨ Das Kreditrisiko und dessen Portfolio-orientiertes Management wird auch in Zukunft immermehr an …
Persistent link: https://www.econbiz.de/10009471811
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Kreditportfoliomanagement - Die Bedeutung von Korrelationen für die Bewertung von Kreditausfallrisiken
Lipponer, Alexander - 2000
default correlations is implemented. A Monte-Carlosimulation tool is used to examine how this 'correlation effect' varieswith …
Persistent link: https://www.econbiz.de/10009476196
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First Solution: a safety-first plan backfires
Ballard, Roger - 2007
The document contains a commentary on the wider issues of responsibility raised by the collapse of First Solution Money Transfer. This was a UK based private limited company which provided a money transfer service, providing expatriates the facilities to transfer money back to their family in...
Persistent link: https://www.econbiz.de/10009468665
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Insolvenzprognose für ukrainische, deutsche sowie nordamerikanische Unternehmen
Perederiy, Volodymyr - 2010
Das vorliegende Dissertationsprojekt hatte zwei zentrale Schwerpunkte. Den ersten Schwerpunkt bildete die innovative Insolvenzprognosemodellierung für ukrainische Unternehmen.Dafür wurde im Wesentlichen die moderne internationale Standardmethodik zur Insolvenzprognose auf Basis der...
Persistent link: https://www.econbiz.de/10009460748
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Anreizkompatibilit?t der gesetzlichen R?ckstufung von Gesellschafterdarlehen in der Insolvenz
Trautbeck-Kim, Marion - 2011
generelle R?ckstufung von Gesellschafterdarlehen nach dem MoMiG in der Insolvenz zu finden und modelltheoretisch zu analysieren … richtiger Ansatzpunkt f?r eine Rechtfertigung des Nachranges von Gesellschafterdarlehen in der Insolvenz sein kann, nicht jedoch …The economic reasons for the legal subordination (MoMiG) of shareholders' loans in the insolvency of a company are …
Persistent link: https://www.econbiz.de/10009484819
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Business failure prediction using decision trees
Gepp, Adrian; Kumar, Kuldeep; Bhattacharya, Sukanto - 2009
Accurate business failure prediction models would be extremely valuable to many industry sectors, particularly financial investment and lending. The potential value of such models is emphasised by the extremely costly failure of high-profile companies in the recent past. Consequently, a...
Persistent link: https://www.econbiz.de/10009441694