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Choros-Tomczyk, Barbara; Härdle, Wolfgang; Overbeck, Ludger - 2012

conditions. Therefore, a correlation implied from tranches can be seen as a measure of the general health of the credit market …

Persistent link: https://www.econbiz.de/10009531437

Spillover dynamics for systemic risk measurement using spatial financial time series models

Blasques, Francisco; Koopman, Siem Jan; Lucas, André; … - 2014

We introduce a new model for time-varying spatial dependence. The model extends the well-known static spatial lag model. All parameters can be estimated conveniently by maximum likelihood. We establish the theoretical properties of the model and show that the maximum likelihood estimator for the...

Persistent link: https://www.econbiz.de/10010391531

Implied correlations of iTraxx tranches during the financial crisis

Heidorn, Thomas; Kahlert, Dennis - 2010

implied base correlations of iTraxx tranches. -- Implied Correlation ; Asset Correlation ; Systematic Credit Risk ; Market …

Persistent link: https://www.econbiz.de/10003981941

CDO surfaces dynamics

Choros-Tomczyk, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2013

correlation surfaces using a dynamic semiparametric factor model (DSFM). The DSFM offers a combination of flexible functional data …

Persistent link: https://www.econbiz.de/10009763975

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...