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Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

1 Introduction: Economics and Organization of Financial Markets -- Part 1 Basic Financial Instruments -- 2 Basic Finance: Interest rates, Discounting, Investments, Loans -- 3 The Money Market and its Interbank Segment -- 4 The Bond Markets -- 5 Introduction to the Analysis of Interest Rate and...

Persistent link: https://www.econbiz.de/10013441427

A spread-based model for the valuation of credit derivatives with correlated defaults and counter-party risks

Chang, Chuang-chang; Yu, Jih-Chieh - In: Research in finance 23 (2006), pp. 193-220

Persistent link: https://www.econbiz.de/10003753454

Firm-specific risk-neutral distributions with options and CDS

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2021

Persistent link: https://www.econbiz.de/10012483801

Hedging Stock Sector Risk with Credit Default Swaps

Ratner, Mitchell - 2015

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004-2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also...

Persistent link: https://www.econbiz.de/10013019344

Valuation of systematic risk in the cross-section of credit default swap spreads

Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 183-195

Persistent link: https://www.econbiz.de/10011792305

Pricing vulnerable options with stochastic liquidity risk

Wang, Xingchun - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-10

Persistent link: https://www.econbiz.de/10013449096

Pricing vulnerable basket spread options with liquidity risk

Dong, Ziming; Tang, Dan; Wang, Xingchun - In: Review of derivatives research 26 (2023) 1, pp. 23-50

Persistent link: https://www.econbiz.de/10014266355

Synthetic CDO pricing : the perspective of risk integration

Hu, Conghui; Zhang, Xun; Gao, Qiuming - In: Applied economics 47 (2015) 13/15, pp. 1574-1587

Persistent link: https://www.econbiz.de/10010512015

CDO Pricing : Copula Implied by Risk Neutral Dynamics

Hitier, Sebastien - 2016

that an understanding of the dynamics used in model for CDO is required to bring it to par with derivative models used for …

Persistent link: https://www.econbiz.de/10013000790

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