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Pricing credit linked financial instruments : theory and empirical evidence

Schmid, Bernd - 2002

Persistent link: https://www.econbiz.de/10001632772

Financial derivatives in theory and practice

Hunt, Phil J.; Kennedy, J. E. - 2004 - Revised edition

Persistent link: https://www.econbiz.de/10002011741

Financial derivatives in theory and practice

Hunt, Phil J.; Kennedy, J. E. - 2004 - Revised edition

Persistent link: https://www.econbiz.de/10013489864

Modellierung und Bewertung von Kreditrisiken

Grundke, Peter - 2003 - 1. Aufl.

Persistent link: https://www.econbiz.de/10001754364

Quantitative risk management : concepts, techniques and tools

McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005

Persistent link: https://www.econbiz.de/10002934295

Credit risk stress testing and copulas : is the Gaussian copula better than its reputation?

Koziol, Philipp; Schell, Carmen; Eckhardt, Michael - 2015

), CreditMetrics, KMV) still rely on Gaussian copulas. This paper complements the finance literature providing new insights into the … impact of different copulas in stress test applications using supervisory data of 17 large German banks. Our findings imply … high stress effects under extreme scenarios. Heavy-tailed copulas like the Clayton or the t copula are recommended in the …

Persistent link: https://www.econbiz.de/10011419593

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10011460072

Exposure at Default Modeling with Default Intensities

Witzany, Jiri - 2014

Persistent link: https://www.econbiz.de/10013048184

Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration

Burgess, Nicholas - 2018

In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...

Persistent link: https://www.econbiz.de/10012925163

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475