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Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2022

Using Credit Default Swap spreads, we construct a forward-looking, market-implied carbon risk factor and show that carbon risk affects firms' credit spread. The effect is larger for European than North American firms and varies substantially across industries, suggesting the market recognises...

Persistent link: https://www.econbiz.de/10013417581

Why do banks use credit default swaps (CDS)? : a systematic review

Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231

Persistent link: https://www.econbiz.de/10014474357

Carbon default swap : disentangling the exposure to carbon risk through CDS

Blasberg, Alexander; Kiesel, Rüdiger; Taschini, Luca - 2023

Persistent link: https://www.econbiz.de/10013502606

Effiziente Risikosteuerung mit Hilfe von Kreditderivaten

Müller, Bernd R.; Mauelshagen, Melanie - In: Sparkasse : Manager-Magazin für die Sparkassen-Finanzgruppe 121 (2004) 2, pp. 94-98

Persistent link: https://www.econbiz.de/10001919614

Using guarantees and credit derivatives to reduce credit risk capital requirements under the new Basel Capital Accord

Heitfield, Erik - In: Credit derivatives : the definitive guide, (pp. 451-466). 2004

Persistent link: https://www.econbiz.de/10002799058

Einsatzmöglichkeiten und praktische Anwendung von Kreditderivaten in der Sparkassen-Organisation

Lücke, Tobias - 2005 - 1. Aufl.

Persistent link: https://www.econbiz.de/10002776848

Basel II und die nationale Entwicklung von Kreditderivaten

Senft, Claudia - 2004 - 1. Aufl.

Die zukünftige Eigenkapitalunterlegungspflicht gemäss dem Basler Konsultationspapier (kurz als "Basel II" bezeichnet) und die zunehmende Risikosensibilisierung der Banken (hervorgerufen durch die hohe Abschreibung auf uneinbringliche Kredite in der Vergangenheit) sowie die stete Suche der...

Persistent link: https://www.econbiz.de/10002346886

Pricing of Bai Salam : An Analytical Perspective

Ajmal, Muhammad - 2017

Bai Salam has gained prominence as an Islamic financial instrument for financing the deficit funding units across the Islamic world. This paper uses the arbitrage-free first order conditions to set boundaries on the ra's al-mal (the price paid in Bai Salam). Among the four schools of thought...

Persistent link: https://www.econbiz.de/10012948479

Analytical Approximations for Loan and Credit Derivatives Portfolios

Giesecke, Kay - 2015

credit derivative positions. They can, for example, buy default protection on selected borrowers, or diversify the portfolio … by selling protection on other names. The design of suitable credit derivative positions and the estimation of risk … derivative positions. This paper develops an analytical approximation for this distribution. The approximation is based on a …

Persistent link: https://www.econbiz.de/10013036950

Credit Risk Transfer and Bank Competition

Hakenes, Hendrik - 2009

We present a banking model with imperfect competition in which borrowers' access to credit is improved when banks are able to transfer credit risks. However, the market for credit risk transfer (CRT) works smoothly only if the quality of loans is public information. If the quality of loans is...

Persistent link: https://www.econbiz.de/10013155071