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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Centre for Practical Quantitative Finance <Frankfurt, Main> - 2009
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
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CDO and HAC
Choroś, Barbara; Härdle, Wolfgang Karl; Okhrin, Ostap - 2009
pricing procedure based on the Gaussian distribution. …
Persistent link: https://www.econbiz.de/10010274189
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Optimal Shortfall Hedging of Credit Risk
Lotz, Christopher - 1999
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
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Locally Minimizing the Credit Risk
Lotz, Christopher - 1998
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
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Liquidity and Credit Risk
Ericsson, Jan; Renault, Olivier - 2001
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
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Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?
Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002
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
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Tranching and Rating
Brennan, Michael; Hein, Julia; Poon, Ser-Huang - Manchester Business School - 2008
thehypothesized pricing system. Increasing the systematic risk or reducing the total risk of the bondcollateral increases the profits …
Persistent link: https://www.econbiz.de/10005870670
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Credit risk and the yen interest rate swap market
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 2000
In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain …
Persistent link: https://www.econbiz.de/10005846834
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The pricing of correlated default risk: evidence from the credit derivatives market
Zhu, Haibin; Tarashev, Nikola A. - 2008
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
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Trading the bond-CDS basis: The role of credit risk and liquidity
Trapp, Monika - 2009
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