Die Eurokrise beherrscht die Tagesordnung der europäischen Räte. Auf deutscher Ebene wird die Handhabung des Rettungsschirms durch das Gesetz zur Übernahme von Gewährleistungen im Rahmen eines europäischen Stabilisierungsmechanismus geregelt. Dabei spielt eine wichtige Rolle, inwieweit das...

Correlations are the main drivers for credit portfolio risk and constitute a Major element in pricing credit derivatives such as synthetic single-tranche collateralized debt obligation swaps. This paper suggests a dynamic panel regression Approach to model and forecast implied correlations....

The global financial crisis has shown that many financial institutions dealing with credit derivatives were exposed to severe unexpected losses. This indicates that systematic influences are decisively underestimated particularly with regard to structured products like securitized tranches of...

This paper analyses the pricing of systematic risk factors in credit default swap contracts in a two-stage empirical framework. In the first pass, we estimate contract-specific sensitivities to several systematic risk factors by time-series regressions using quoted credit default swap (CDS)...