Narrow search
Showing 1 - 10 of 2,195
Cover Image
Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
, the implied adjustments in capital charges could be reduced by hedging a credit derivative portfolio with a contrary …
Persistent link: https://www.econbiz.de/10012944310
Cover Image
Basis Risk in Hedging a CDS Portfolio with Credit Indices
Chamizo, Alvaro - 2017
The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation … products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different …
Persistent link: https://www.econbiz.de/10012970402
Cover Image
Hedging interest rate risk using a structural model of credit risk
Huang, Jing-Zhi; Shi, Zhan - 2016
corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … improvement in hedging effectiveness …
Persistent link: https://www.econbiz.de/10011810957
Cover Image
Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
stock futures, the non-uniform pricing effect of employee stock options using quantile regression, nonlinear dynamics and …, with evidence from listed firms in Taiwan, pricing options on stocks denominated in different currencies, with theory and … simple model free volatility in a high frequency world, arbitrage-free implied volatility surfaces for options on single …
Persistent link: https://www.econbiz.de/10010326212
Cover Image
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
Cover Image
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
Cover Image
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
Cover Image
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
Cover Image
CDO and HAC
Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
Modelling portfolio credit risk is one of the crucial challenges faced by financial services industry in the last few years. We propose the valuation model of collateralized debt obligations (CDO) based on copula functions with up to three parameters, with default intensities estimated from...
Persistent link: https://www.econbiz.de/10003871765
Cover Image
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