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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

On the Dybvig-Ingersoll-Ross theorem

Kardaras, Constantinos; Platen, Eckhard - In: Mathematical finance : an international journal of … 22 (2012) 4, pp. 729-740

Persistent link: https://www.econbiz.de/10009614938

Marktrisikosteuerung durch Derivative Product Companies

Gerth, Volker - 1994 - 1. Aufl

Persistent link: https://www.econbiz.de/10000896009

Regulatory Arbitrage, Extraterritorial Jurisdiction and Dodd-Frank : The Implications of US Global OTC Derivative Regulation

Johnson, Christian A. - 2014

-the-counter derivative regulation. Many of the Dodd-Frank statutes and proposed rules go well beyond the relatively modest objectives agreed … to by the G20 countries in 2009. These efforts in the U.S. create a legal environment ripe for regulatory arbitrage and … the isolation of U.S. OTC derivative markets. Isolation results from participants simply abandoning U.S. markets because …

Persistent link: https://www.econbiz.de/10013065156

Extraterritoriality of swaps regulation and regulatory arbitrage

D'Avino, Carmela - In: Journal of regulatory economics 56 (2019) 2/3, pp. 167-187

Persistent link: https://www.econbiz.de/10012301103

Credit derivative products

Rivera, Peter - In: Credit derivative strategies : new thinking on managing …, (pp. 175-215). 2007

Persistent link: https://www.econbiz.de/10003547057

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

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

Credit spreads : an empirical analysis on the informational content of stocks, bonds, and CDS

Forte, Santiago; Peña Sánchez de Rivera, Juan Ignacio - In: Journal of banking & finance 33 (2009) 11, pp. 2013-2025

Persistent link: https://www.econbiz.de/10003892177

The term structure of risk premia : new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10003971282

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