Similar Search Results

Giesecke, Kay - 2001

correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where …

Persistent link: https://www.econbiz.de/10009621426

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

Persistent link: https://www.econbiz.de/10009624843

Counterparty Risk and Contingent CDS Valuation Under Correlation Between Interest-Rates and Default

Brigo, Damiano; Pallavicini, Andrea - 2008

We consider counterparty risk for interest rate payoffs in presence of correlation between the default event and … event. We find that correlation between interest-rates and default has a relevant impact on the positive adjustment to be … decrease with the correlation for receiver payoffs, while the analogous adjustment for payer payoffs increases. The impact of …

Persistent link: https://www.econbiz.de/10014056259

Measuring credit risk in family firms

Abinzano, Isabel; Corredor, Pilar; Martinez, Beatriz - In: Business research quarterly : BRQ 25 (2022) 3, pp. 265-282

This article attempts to identify the default risk measure which best reflects the idiosyncratic context of public family firms. Seven accounting- and market-based measures are compared over a sample of 981 US family and non-family firms for the period 2000-2016. The results show that the...

Persistent link: https://www.econbiz.de/10013272953

Extracting Option-Implied Probability of Default : A Novel Method

Orosi, Greg - 2019

In this paper, we present a novel method to extract the risk-neutral probability of default from American put option prices. Under the assumptions of Carr and Wu (2011), we derive a closed form expression for American put options from which the probability of default can be inferred. Our...

Persistent link: https://www.econbiz.de/10012863513

Equity Option Implied Probability of Default and Equity Recovery Rate

Chang, Bo Young - 2019

There is a close link between prices of equity options and the probability of default of a firm. We show that in the presence of positive expected equity recovery, the standard methods that assume zero equity recovery at default misestimate the probability of default implicit in option prices....

Persistent link: https://www.econbiz.de/10012903784