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If the creditworthiness of a counterparty is a derivative of a commodity price, there is the potential to have right … stage I subsume various models for optimal hedging under one general co-integrated model. In a worked example three models …
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markets, the available tools for credit risk management with a special focus on clearing, CDS, the hedging and pricing of … Securitizations and Derivatives. Chichester: Wiley & Sons 2013 …
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We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo-firm assets. Empirically, like corporate...
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