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Optimal valuation of American callable credit default swaps under drawdown of Lévy insurance risk process
Palmowski, Z.; Budhi Arta Surya - In: Insurance / Mathematics & economics 93 (2020), pp. 168-177
Persistent link: https://www.econbiz.de/10012294093
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Dynamic dependence and diversification in corporate credit
Christoffersen, Peter F.; Jacobs, Kris; Jin, Xisong; … - In: Review of finance : journal of the European Finance … 22 (2018) 2, pp. 521-560
Persistent link: https://www.econbiz.de/10011990811
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Sovereign credit default swaps : Managing risks when the fiscal house rumbles
Rajaratnam, Indra - In: Journal of risk management in financial institutions 16 (2023) 4, pp. 409-426
Persistent link: https://www.econbiz.de/10014441050
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357
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An extended structural credit risk model
Realdon, Marco (contributor) - 2007
Persistent link: https://www.econbiz.de/10003564820
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CDS as insurance : leaky lifeboats in stormy seas
Stephens, Eric; Thompson, James R. - In: Journal of financial intermediation 23 (2014) 3, pp. 279-299
Persistent link: https://www.econbiz.de/10010473450
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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …
Persistent link: https://www.econbiz.de/10003750300
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Implications for Risk Management and Regulation : A Study of Long-Term Dependence in the Credit Default Swap (CDS) Indices Market
Madhavan, Vinodh; Pruden, Henry O. - 2012
light upon the nature and degree of market risk inherent in CDS instruments, and hence help regulators to calculate the …
Persistent link: https://www.econbiz.de/10014173832
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Dynamic credit default swaps curves in a network topology
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016
of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of … interconnectedness of default factors in a dynamic fashion, and forecast the CDS curves. The extracted level factors representing long … of the network DNS model indicates that the prediction on CDS curve requires network information. …
Persistent link: https://www.econbiz.de/10011579056