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Financial crisis, Value-at-Risk forecasts and the puzzle of dependency modeling
Berger, Theo; Missong, Martin - In: International review of financial analysis 33 (2014), pp. 33-38
Persistent link: https://www.econbiz.de/10010520086
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Measuring systemic risk : common factor exposures and tail dependence effects
Chiu, Wan-Chien; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 21 (2015) 5, pp. 833-866
Persistent link: https://www.econbiz.de/10011408533
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Dynamical volatility and correlation among US stock and treasury bond cash and futures markets in presence of financial crisis : a copula approach
Liu, Hsiang-Hsi; Wang, Teng-Kun; Li, Weny - In: Research in international business and finance 48 (2019), pp. 381-396
Persistent link: https://www.econbiz.de/10012135956
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The determinants of CDS spreads : evidence from the model space
Pelster, Matthias; Vilsmeier, Johannes - In: Review of derivatives research 21 (2018) 1, pp. 63-118
Persistent link: https://www.econbiz.de/10012055732
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Financial stochastic modeling and the subprime crisis
Latifa, Aitoutouhen; Faris, Hamza - In: International journal of economics, finance and … 4 (2016) 2, pp. 67-77
Persistent link: https://www.econbiz.de/10011657951
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358
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Rise and fall of synthetic CDO market : lessons learned
Jabłecki, Juliusz - In: International journal of theoretical and applied finance 20 (2017) 8, pp. 1-28
Persistent link: https://www.econbiz.de/10011787469
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The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
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Time-varying correlation in housing prices
Zimmer, David M. - In: The journal of real estate finance and economics 51 (2015) 1, pp. 86-100
Persistent link: https://www.econbiz.de/10011474934
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Time-varying systemic risk : evidence from a dynamic copula model of CDS spreads
Oh, Dong Hwan; Patton, Andrew J. - In: Journal of business & economic statistics : JBES ; a … 36 (2018) 2, pp. 181-195
Persistent link: https://www.econbiz.de/10011894575