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Law as a constraint on bailouts : emergency support for central counterparties
France, Virginia G.; Kahn, Charles M. - In: Journal of financial intermediation 28 (2016), pp. 22-31
Persistent link: https://www.econbiz.de/10011715177
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Loss potential from credit derivative use by corporate bond funds under U.S. and German Regulation : a cross country comparison
Gałkiewicz, Dominika - In: Credit and capital markets : Kredit und Kapital 49 (2016) 2, pp. 245-298
Persistent link: https://www.econbiz.de/10011555110
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The Credit Risk of Complex Derivatives
Banks, Erik - 2004 - Third Edition
expanded. Several new chapters have been added including: * Derivative losses * Risk governance and risk management efforts …
Persistent link: https://www.econbiz.de/10012106416
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What explains the recourse of US commercial banks to securitization?
Bensalah, Nesrine; Fedhila, Hassouna - In: Review of accounting & finance 15 (2016) 3, pp. 317-328
Persistent link: https://www.econbiz.de/10011607952
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Impact of correlated default risk on credit portfolios
Das, Sanjiv R.; Fong, H. Gifford; Geng, Gary - In: The journal of fixed income 11 (2001) 3, pp. 9-19
Persistent link: https://www.econbiz.de/10001706056
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Multi-Agent Financial Network (MAFN) model of US Collateralized Debt Obligations (CDO) : regulatory capital arbitrage, negative CDS carry trade and systemic risk analysis
Markose, Sheri M.; Oluwasegun, Bewaji; Giansante, Simone - 2012
Persistent link: https://www.econbiz.de/10009544686
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Market and model credit default swap spreads : mind the gap!
Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: European financial management : the journal of the … 17 (2011) 4, pp. 655-678
Persistent link: https://www.econbiz.de/10009388310
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On correlation and default clustering in credit markets
Berndt, Antje; Ritchken, Peter H.; Sun, Zhiqiang - In: The review of financial studies 23 (2010) 7, pp. 2680-2729
Persistent link: https://www.econbiz.de/10003992037
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The pricing of correlated default risk : evidence from the credit derivatives market
Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008
order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...
Persistent link: https://www.econbiz.de/10003721579
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Credit derivative products
Rivera, Peter - In: Credit derivative strategies : new thinking on managing …, (pp. 175-215). 2007
Persistent link: https://www.econbiz.de/10003547057