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Credit valuation adjustment modelling during a global low interest rate environment
Macek, Petr; Teplý, Petr - 2015
The 2008/2009 global crisis highlighted the vulnerabilities and inter-dependencies in the financial system including the global over-the-counter (OTC) derivatives markets, where significant counterparty credit risk prevails. In this paper, we deal with risk under Basel III banking regulation and...
Persistent link: https://www.econbiz.de/10010468530
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Understanding the risk of synthetic CDOs
Gibson, Michael S. - 2004
Persistent link: https://www.econbiz.de/10002117790
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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009
Bacchetta, Philippe; Merrouche, Ouarda - 2015
disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …
Persistent link: https://www.econbiz.de/10011507853
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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009
Bacchetta, Philippe; Merrouche, Ouarda - 2015
Persistent link: https://www.econbiz.de/10011414476
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Special issue: credit derivatives
Batten, Jonathan A. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001728576
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Credit swap valuation
Duffie, Darrell - In: Credit risk models and management, (pp. 375-401). 2004
Persistent link: https://www.econbiz.de/10002432624
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Special issue: credit derivatives
Batten, Jonathan A. (contributor) - 2002
Persistent link: https://www.econbiz.de/10001716000
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Understanding credit derivatives and their potential to synthesize riskless assets
Bomfim, Antúlio N. - 2001
Persistent link: https://www.econbiz.de/10001637887
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Die Zukunft des Managements von Bonitätsrisiken : Kreditderivate - mehr als eine Modeerscheinung
Friedrich, Alexander - In: Die Zukunft der Banken - die Banken der Zukunft, (pp. 133-168). 2002
Persistent link: https://www.econbiz.de/10001671900
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Optimal Credit Swap Portfolios
Giesecke, Kay - 2018
, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multi … portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios …
Persistent link: https://www.econbiz.de/10012940733