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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies … should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies … should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013131934
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...
Persistent link: https://www.econbiz.de/10012944310
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Basis Risk in Hedging a CDS Portfolio with Credit Indices
Chamizo, Alvaro - 2017
adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS …
Persistent link: https://www.econbiz.de/10012970402
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Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding
Lou, Wujiang - 2016
We cast the ongoing debate on FVA onto a segregated derivative economy, where counterparties are defaultable and unable to post collateral fully. The economy exhibits funding asymmetry in that deposit and borrowing have differing rates. A close examination of the micro financing structure of...
Persistent link: https://www.econbiz.de/10013007738
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Correlated default with incomplete information
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
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A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk
Gatarek, Dariusz - 2016
framework for pricing products whose values depend on credit correlation between the counterparty and the reference entity. The …
Persistent link: https://www.econbiz.de/10013007520
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Pairing Market Risk and Credit Risk
Figuerola-Ferretti, Isabel - 2011
This study uses a comprehensive data set of VIX and CDS markets to propose pairs trading strategies that represent the dynamic relation between market risk and credit risk in an equilibrium framework with a common non stationary factor. This involves the analysis of price discovery between VIX...
Persistent link: https://www.econbiz.de/10013128397
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Pairing Market Risk and Credit Risk
Figuerola-Ferretti, Isabel - 2015
This paper uses an exclusive proprietary data set of European Credit Derivatives and VIX markets, covering a sample of 5 to 7 years, to study the nature of the link between credit risk and market risk, widely acknowledged in the academic literature. This allows us to establish cointegration in...
Persistent link: https://www.econbiz.de/10013039122
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Book Review of Credit Risk : Pricing, Measurement, and Management
Dionne, Georges - 2004
Credit risk is the major challenge for risk managers and market regulators. Banks, regulators and central banks do not agree on how to measure credit risk and, more particularly, on how to compute the optimal capital that is necessary for protecting the different partners that share this risk....
Persistent link: https://www.econbiz.de/10012737876