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1
Copula dynamics in CDOs
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
Saved in:
2
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
Saved in:
3
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
Saved in:
4
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
Saved in:
5
Do correlated defaults matter for CDS premia? : an empirical analysis
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...
Persistent link: https://www.econbiz.de/10010405475
Saved in:
6
Financial constraints and collateral crises
Araujo, Luis
;
Guimarães, Bernardo
;
Rodrigues, Diego
-
2020
Persistent link: https://www.econbiz.de/10012172921
Saved in:
7
Optimal monetary policy in a collateralized economy
Gorton, Gary
;
He, Ping
-
2016
Persistent link: https://www.econbiz.de/10011544546
Saved in:
8
Breaking the spell with credit-easing : self-confirming credit crises in competitive search economies
Gaballo, Gaetano
;
Marimon, Ramon
-
2016
Persistent link: https://www.econbiz.de/10011449974
Saved in:
9
A market based solution for fire sales and other pecuniary externalities
Kilenthong, Weerachart T.
;
Townsend, Robert M.
-
2016
Persistent link: https://www.econbiz.de/10011452635
Saved in:
10
Breaking the spell with credit-easing : self-confirming credit crises in competitive search economies
Gaballo, Gaetano
;
Marimon, Ramon
-
2016
Persistent link: https://www.econbiz.de/10011446720
Saved in:
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