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Smart Derivative Contracts (Detaching Transactions from Counterparty Credit Risk : Specification, Parametrisation, Valuation)

Fries, Christian P. - 2019

In this note we describe a smart derivative contract with a fully deterministic termination to remove many of the inefficiencies in collateralized OTC transactions. The automatic termination procedure embedded in the smart contracts replaces the counterparty default by an option right of the...

Persistent link: https://www.econbiz.de/10012899557

Monitoring financial distress in a high-stress financial world : the role of option prices as bank risk metrics

Coffinet, Jérôme; Pop, Adrian; Tiesset, Muriel - In: Journal of financial services research : JFSR 44 (2013) 3, pp. 229-257

Persistent link: https://www.econbiz.de/10010336307

Market co-movement between credit default swap curves and option volatility surfaces

Shi, Yukun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 82 (2022), pp. 1-13

Persistent link: https://www.econbiz.de/10013426474

Stock price default boundary : a Black-Cox model approach

Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455157

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

Recent developments in financial economics and econometrics : an overview

Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013

Persistent link: https://www.econbiz.de/10009724823

Recent Developments in Financial Economics and Econometrics: An Overview

Chang, Chia-Lin; McAleer, Michael; Allen, David - Facultad de Ciencias Económicas y Empresariales, … - 2013

, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …

Persistent link: https://www.econbiz.de/10010778692

Calibration of Credit Spread Scenarios for Monte Carlo Simulations

Dubrana, Ludovic - 2012

The main goal of this paper is to better understand the behavior of credit spreads in the past and the potential risk of unexpected future credit spread changes. One important consideration to note regarding credit spreads is the fact that bond spreads contain a liquidity premium, which...

Persistent link: https://www.econbiz.de/10013105185

Application Of Discriminant Analysis, Factor Analysis, Logistic Regression, And KMV-Merton Model In Credit Risk Analysis

Lee, Cheng-Few - 2020

The main purposes of this paper are to review and integrate the applications of discriminant analysis, factor analysis, and logistic regression in credit risk management. First, we discuss how the discriminant analysis can be used for credit rating such as calculating financial z-score to...

Persistent link: https://www.econbiz.de/10012837339

Predicting and managing Credit risks using RIDGE and Logistic LASSO regression

Mushunje, Leonard - 2021

When borrowers default or fail to repay the lenders (banks), default–linked risks-so called credit risks do emerge. Such risks are critical to several agents like creditors, borrowing firms, and governments alike. As such, financial engineers have been putting in place some scientific...

Persistent link: https://www.econbiz.de/10013231645

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