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Credit rating downgrade risk on equity returns
Brakatsoulas, Periklis; Kukacka, Jiri - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012242861
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Do Credit Rating Agencies Care about Climate Risk?
Tran, Nhu; Uzmanoglu, Cihan - 2021
We investigate whether credit rating agencies incorporate climate risk in their rating models. As climate risk is not well defined, we implement several identification strategies using a sample of U.S. cities whose creditworthiness should vary with climate risk–related disruptions to their...
Persistent link: https://www.econbiz.de/10013252404
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Risk characteristics of covered bonds : monitoring beyond ratings
Grothe, Magdalena; Zeyer, Jana - 2020
This paper proposes a set of indicators relevant for the risk characteristics of covered bonds, as based on granular publicly available transparency data. The indicators capture various aspects of cash flow risks related to the issuer, the cover pool and the payment structure. They offer unified...
Persistent link: https://www.econbiz.de/10012206219
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Credit Rating Downgrade Risk on Equity Returns
Brakatsoulas, Periklis - 2020
We develop a four-factor model intended to capture size, value, and credit rating transition patterns in excess returns for a panel of predominantly mid- and large-cap entities. Using credit transition matrices and rating histories from 48 US issuers, we provide evidence to support a...
Persistent link: https://www.econbiz.de/10012832284
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Model Risk and the Design of CDO Tranches
Metzler, Adam - 2010
The goal of this paper is to explore the model risk inherent in the rating and design of structured finance products. We seek to illustrate the consequences of neglecting state-dependent correlations on the methodologies and criteria employed by the major ratings agencies. In contrast to related...
Persistent link: https://www.econbiz.de/10013139115
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Systematic Risk of Cdos and Cdo Arbitrage
Hamerle, Alfred - 2016
Persistent link: https://www.econbiz.de/10012989251
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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
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Optimal Investment in Credit Derivatives Portfolio Under Contagion Risk
Bo, Lijun - 2014
We consider the optimal portfolio problem of a power investor who wishes to allocate her wealth between several credit default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a reduced form Markovian model with interacting...
Persistent link: https://www.econbiz.de/10013062449
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The pitfalls of central clearing in the presence of systematic risk
Kubitza, Christian; Pelizzon, Loriana; Getmansky, Mila - 2018
reluctance to clear derivative trades in the absence of a central clearing obligation. We develop a comprehensive understanding … moving from a bilateral to a clearing architecture for derivative markets. Previous studies suggest that central clearing is … its counterparties: 1) correlation across and within derivative classes (i.e., systematic risk), 2) collateralization of …
Persistent link: https://www.econbiz.de/10011923506
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An analytical approach for systematic risk sensitivity of structured finance products
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel - In: Review of derivatives research 17 (2014) 1, pp. 1-37
Persistent link: https://www.econbiz.de/10010519296