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The Multinomial Option Pricing...
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ECONIS (ZBW)
982
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1
Pricing
of credit default index swap tranches with one-factor heavy-tailed copula models
Wang, Dezhong
;
Račev, Svetlozar T.
;
Fabozzi, Frank J.
- In:
Journal of empirical finance
16
(
2009
)
2
,
pp. 201-215
Persistent link: https://www.econbiz.de/10003839259
Saved in:
2
Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) : eine simulationsgestützte Analyse
Gann, Philipp
-
2009
Gegenstand der vorliegenden Arbeit ist die Analyse des Einflusses der Faktoren Konjunkturerwartung, Risikoaversion des Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt, dass die Marktwerte von CDOs wesentlich...
Persistent link: https://www.econbiz.de/10003861125
Saved in:
3
Modeling default dependence with threshold models
Overbeck, Ludger
;
Schmidt, Wolfgang M.
-
2003
We investigate the problem of modeling defaults of dependent credits. In the framework of the class of structural default models we study threshold models where for each credit the underling ability-to-pay process is a transformation of a Wiener processes. We propose a model for dependent...
Persistent link: https://www.econbiz.de/10003853455
Saved in:
4
CDO and HAC
Choroś, Barbara
;
Härdle, Wolfgang
;
Okhrin, Ostap
-
2009
pricing
procedure based on the Gaussian distribution. -- CDO ; CDS ; multivariate distributions ; Copulae ; correlation smile …
Persistent link: https://www.econbiz.de/10003871765
Saved in:
5
Price discovery in Canadian and US 10-year government bond markets
Campbell, Bryan
(
contributor
);
Hendry, Scott
(
contributor
)
-
2007
; Market structure and
pricing
…
Persistent link: https://www.econbiz.de/10003560539
Saved in:
6
Análisis de la utilización de derivados financieros en las empresas no financieras mexicanas y su efecto en las cotizaciones bursátiles
Corona Dueñas, José Asunción
- In:
Atlantic review of economics : AROE
1
(
2012
)
In this paper we study the possible effect it may have concerning the use of financial derivatives in the evolution of the share price of Mexican non-financial corporations, whether such contracts are used for hedging financial risks or for trading. The first part is a review of the literature...
Persistent link: https://www.econbiz.de/10009664415
Saved in:
7
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
Saved in:
8
Interest rate swap credit valuation adjustment
Černý, Jakub
;
Witzany, Jiří
-
2014
The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital requirements and current accounting rules. Its calculation is not an easy task - not only it is necessary to model the future value of the derivative, but also the probability of...
Persistent link: https://www.econbiz.de/10010358352
Saved in:
9
Liquidity risk in credit default swap markets
Junge, Benjamin
;
Trolle, Anders B.
-
2013
asset
pricing
, illiquidity and risk premia correlate negatively with proxies for the risk-bearing capacity of CDS market …
Persistent link: https://www.econbiz.de/10010258589
Saved in:
10
Peso-Dollar forward market analysis : explaining arbitrage opportunities during the financial crisis
Hernández, Juan R.
-
2014
Using a vector error correction model I test whether shocks in the funding liquidity conditions in the U.S. and Europe separately explain deviations from the covered interest parity (CIP) between the U.S. Dollar and the Mexican Peso. I find that: (1) Apparent deviations from the CIP seem to be...
Persistent link: https://www.econbiz.de/10010370903
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