Similar Search Results

Capital structure arbitrage under a risk-neutral calibration

Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23

By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To maximize the sensitivity to volatility, a simple...

Persistent link: https://www.econbiz.de/10011619118

New Discrete Time Affine Models to Price Sovereign Credit Risk

Realdon, Marco - 2023

) processes. The evidence shows that all tested ARP models fit and predict sovereign CDS prices and their volatility very … level, but not the volatility, of sovereign CDS prices than two factor ARP models …

Persistent link: https://www.econbiz.de/10014350555

A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

Da Fonseca, José; Gottschalk, Katrin - 2023

This paper presents a joint analysis of the term structure of credit default swap (CDS) spreads and the implied … volatility surface. The rapid development of the CDS market has provided convenient products to extract credit risk, and its … volatility. Only very few studies analyze the entire smile and the term structure of CDS spreads.The purpose of this paper is to …

Persistent link: https://www.econbiz.de/10014254192

Model Implied Credit Spreads

Grass, Gunnar - 2011

I propose a new procedure for extracting probabilities of default from structural credit risk models based on model implied credit spreads (MICS) and implement this approach assuming a barrier option framework nesting the Merton (1974) model of capital structure. MICS are the increase in the...

Persistent link: https://www.econbiz.de/10013119626

Are Credit Spreads Too Low or Too High - A Hybrid Barrier Option Approach for Financial Distress

LIn, William T. - 2010

standard barrier option approaches. It can be extended to the study of individual CDS for its better liquidity than individual …

Persistent link: https://www.econbiz.de/10013148676

Valuation of Callable/Putable Corporate Bonds in a One-Factor LogNormal Interest-Rate Model

Goldberg, Robert S. - 2020

Whereas the callable-bond market used to emphasize primarily public debt - Government Agencies, and both investment grade and non-investment corporate debt - that has changed dramatically over the past twenty years, in part due to the low prevailing rates of interest as well as some systematic...

Persistent link: https://www.econbiz.de/10012828696

Option-Based Credit Spreads

Culp, Christopher L. - 2017

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...

Persistent link: https://www.econbiz.de/10012972376

How integrated are credit and equity markets? : evidence from index options

Collin-Dufresne, Pierre; Junge, Benjamin; Trolle, Anders B. - 2020 - This version: June 24, 2020

In recent years, a liquid market for options on a broad credit default swap index (CDX) has developed. We study the extent to which these options are priced consistently with options on a broad equity index (SPX). We consider a rich structural credit risk model in which firm assets follow a...

Persistent link: https://www.econbiz.de/10012271184

Non-linear Gaussian sovereign CDS pricing models

Realdon, Marco - In: Quantitative finance 19 (2019) 2, pp. 191-210

Persistent link: https://www.econbiz.de/10012194648

The Information Content of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

Angelopoulos, Georgios - 2020

Cross-market deviations in equity put option prices and credit default swap spreads are temporal and revert to their usual level shortly after they occur, on average within about one week. The process of reversion involves predictable and economically significant changes also in the equity...

Persistent link: https://www.econbiz.de/10012857332

1
2
3
4
5
6
7
8
9
10
Next
Last