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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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Calibration and Backtesting of the Heston Model for Counterparty Credit Risk
de Innocentis, Marco - 2018
We describe a fast new method for the market implied calibration of the Heston (1993) model for equity, based on an improved version of the parabolic pricing algorithm of Levendorskii (2012). This pricing method, when used in the calibration, is much faster and more accurate, and better...
Persistent link: https://www.econbiz.de/10012936313
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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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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022
Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that …
Persistent link: https://www.econbiz.de/10013417581
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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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Carbon default swap : disentangling the exposure to carbon risk through CDS
Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023
Persistent link: https://www.econbiz.de/10013502606
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Equity default swaps and the securitisation of risk
Logie, Michael J.; Castagnino, John-Peter - In: Securitisation of derivatives and alternative asset …, (pp. 89-115). 2005
Persistent link: https://www.econbiz.de/10003010384
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Die Zukunft des Managements von Bonitätsrisiken : Kreditderivate - mehr als eine Modeerscheinung
Friedrich, Alexander - In: Die Zukunft der Banken - die Banken der Zukunft, (pp. 133-168). 2002
Persistent link: https://www.econbiz.de/10001671900
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The implications of tail dependency measures for counterparty credit risk pricing
Arismendi-Zambrano, J. C.; Belitsky, Vladimir; … - 2020
Persistent link: https://www.econbiz.de/10013168999