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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

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - 2008

In 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...

Persistent link: https://www.econbiz.de/10010295946

A framework assessing the systemic risk of major financial institutions

Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009

Persistent link: https://www.econbiz.de/10003847632

A framework for assessing the systemic risk of major financial institutions

Huang, Xin; Zhou, Hao; Zhu, Haibin - In: Journal of banking & finance 33 (2009) 11, pp. 2036-2049

Persistent link: https://www.econbiz.de/10003892198

A framework for assessing the systemic risk of major financial institutions

Huang, Xin; Zhou, Hao; Zhu, Haibin - 2009

Persistent link: https://www.econbiz.de/10003911902

Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - In: The review of financial studies 22 (2009) 12, pp. 5099-5131

Persistent link: https://www.econbiz.de/10003916314

Systemic risk contributions

Huang, Xin; Zhou, Hao; Zhu, Haibin - 2011

Persistent link: https://www.econbiz.de/10009405766

Explaining credit default swap spreads with the equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - 2005

Persistent link: https://www.econbiz.de/10003234544

Explaining credit default swap spreads with equity volatility and jump risks of individual firms

Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - 2005

Persistent link: https://www.econbiz.de/10003113897

Rating methodologies for banks

Packer, Frank; Tarashev, Nikola A. - In: BIS quarterly review : international banking and … (2011), pp. 39-52

Persistent link: https://www.econbiz.de/10009158122

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