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Credit default swaps and systemic risk
Cont, Rama; Minca, Andreea - In: Operations research confronting the crisis, (pp. 523-547). 2016
Persistent link: https://www.econbiz.de/10011589899
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Forecasting Asian Credit Default Swap Spreads : a comparison of multi-regime models
Chatchai Khiewngamdee; Woraphon Yamaka; Songsak … - In: Robustness in econometrics, (pp. 471-489). 2017
Persistent link: https://www.econbiz.de/10011801798
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Liquidity risk in credit default swap markets
Junge, Benjamin; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 1-33, 105-123). 2016
The first chapter, which is joint work with Anders B. Trolle, analyzes whether liquidity risk is priced in the cross section of returns on credit default swaps (CDSs). The analysis is based on a factor pricing model and a tradable liquidity factor that is constructed from returns on index...
Persistent link: https://www.econbiz.de/10011903311
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Market structure and transaction costs of index CDSs
Junge, Benjamin; Collin-Dufresne, Pierre; Trolle, Anders B. - In: Essays on the market structure and pricing of credit …, (pp. 35-68, 125-167). 2016
The second chapter, which is joint work with Pierre Collin-Dufresne and Anders B. Trolle, analyzes transaction costs in the dealer-to-customer (D2C) and dealer-to-dealer (D2D) segments of the post-Dodd-Frank index CDS market. Dodd-Frank regulations that made all-to-all trading possible had the...
Persistent link: https://www.econbiz.de/10011903312
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Index CDS trading costs around the introduction of SEFs
Junge, Benjamin - In: Essays on the market structure and pricing of credit …, (pp. 69-103, 185-173). 2016
liquidity provision declined around the introduction of so-called swap execution facilities (SEFs); i.e., regulated trading …
Persistent link: https://www.econbiz.de/10011903316
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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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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Portfoliomodelle und Derivate, (pp. 107-148). 2000
Persistent link: https://www.econbiz.de/10001491336
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Worst-Case Analysen des Ausfallrisikos eines Portfolios aus marktabhängigen Finanzderivaten
Barth, Jörn - In: Kreditrisikomanagement : Kernbereiche, Aufsicht und …, (pp. 115-156). 2002
Persistent link: https://www.econbiz.de/10001720335
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Equity default swaps and the securitisation of risk
Logie, Michael J.; Castagnino, John-Peter - In: Securitisation of derivatives and alternative asset …, (pp. 89-115). 2005
Persistent link: https://www.econbiz.de/10003010384
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Credit default swaps valuation
Chen, Ren-Raw; Fabozzi, Frank J.; O'Kane, Dominic - 2008
Persistent link: https://www.econbiz.de/10003765787