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to model a credit quality process as an Itˆo integral withrespect to a Brownian motion with a stochastic volatility …. Using a representation ofthe credit quality process as a time-changed Brownian motion, one can derive formulasfor …
Persistent link: https://www.econbiz.de/10008695276
In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default …
Persistent link: https://www.econbiz.de/10010295946
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10010302537
, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …
Persistent link: https://www.econbiz.de/10010326212
has changed since the start of the credit market turmoil in 2007. Overall, I find that pricing of CDX and iTraxx tranches …
Persistent link: https://www.econbiz.de/10011604956
This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...
Persistent link: https://www.econbiz.de/10011605211
jump time of a Poisson process. The write-down after default is stochastic and independent of the time of default. In this …
Persistent link: https://www.econbiz.de/10005841289
The aim of this paper is the valuation and hedging of defaultable bonds and options on defaultable bonds. The Heath/Jarrow/Morton-framework is used to model the interest rate risk, and the time of default is determined by the first jump time of a point process. (...)
Persistent link: https://www.econbiz.de/10005841328
The authors develop a simple binomial model of liquidity and credit risk in which a bondholder has the option to time …
Persistent link: https://www.econbiz.de/10005843303
This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.
Persistent link: https://www.econbiz.de/10005843402