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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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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
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Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
, 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
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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
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
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The term structure of risk premia: new evidence from the financial crisis
Berg, Tobias - 2010
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
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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