Narrow search
Showing 1 - 10 of 329
Cover Image
Interaction of market and credit risk : an analysis of inter-risk correlation and risk aggregation
Böcker, Klaus; Hillebrand, Martin - In: Journal of risk 11 (2008/09) 4, pp. 3-29
Persistent link: https://www.econbiz.de/10003881601
Cover Image
Interaction of Market and Credit Risk : An Analysis of Inter-Risk Correlation and Risk Aggregation
Böcker, Klaus - 2016
behandelt die Diversifikation innerhalb einer Risikoart (z.B. Markt- oder Kreditrisiko), wohingegen Interrisiko …
Persistent link: https://www.econbiz.de/10012989273
Cover Image
Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
Cover Image
Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
Cover Image
Instantaneous credit risk correlation
Byström, Hans N. E. - In: The journal of fixed income 17 (2007) 2, pp. 5-12
Persistent link: https://www.econbiz.de/10003628152
Cover Image
Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
Cover Image
Contagion and Excess Correlation in Credit Default Swaps
Anderson, Mike - 2016
This paper documents an increase in the correlations between credit default swap (CDS) spread changes during the credit …
Persistent link: https://www.econbiz.de/10013008482
Cover Image
Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
Cover Image
The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
Cover Image
Study of correlation impact on credit default swap margin using a GARCH-DCC-copula framework
Li, David; Cheruvelil, Roy M. - In: The journal of financial market infrastructures 8 (2019) 1, pp. 51-92
Persistent link: https://www.econbiz.de/10012373185