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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
Within the last decade, credit risk management of financial institutions has been subject to major changes due to the development of the credit derivatives market. In the past, financial institutions merely had the possibility to manage their credit portfolio by either approving or refusing a...
Persistent link: https://www.econbiz.de/10010298923
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Modellierung des Kreditrisikos im Einwertpapierfall
Cremers, Heinz; Walzner, Jens - 2009
valid valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a …
Persistent link: https://www.econbiz.de/10010299007
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Modellierung des Kreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - 2009
valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These …
Persistent link: https://www.econbiz.de/10010299008
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The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices
Fender, Ingo; Scheicher, Martin - 2009
This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of … introduction into ABX index mechanics and a discussion of historical pricing patterns, we use regression analysis to establish the … for the inappropriateness of pricing models that do not sufficiently account for factors such as risk appetite and …
Persistent link: https://www.econbiz.de/10011605102
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Hedging costs and joint determinants of premiums and spreads in structured financial products
Entrop, Oliver; Fischer, Georg - 2019
This paper is the first to analyze the joint determinants of premiums and spreads in structured financial products, while also focusing on issuers' hedging costs. We evaluate more than 396,000 single stock discount certificates on an intraday basis in the German secondary market. We find that...
Persistent link: https://www.econbiz.de/10011961047
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Pricing risky bank loans in the new Basel II environment
Hasan, Iftekhar; Zazzara, Cristiano - 2006
Recently, banking literature has had a quest for appropriate pricing of bank loans under the new Basel II rules and has …
Persistent link: https://www.econbiz.de/10012147959
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Market Liquidity Risk - An Overview
Stange, Sebastian; Kaserer, Christoph - Center for Entrepreneurial and Financial Studies <München> - 2009
Market liquidity is the ease of trading an asset. Its risk is the potential loss, because a security can only be traded at high or prohibitive costs. While the omnipresence and importance of market liquidity is widely acknowledged, it has long remained a more or less elusive concept. Treatment...
Persistent link: https://www.econbiz.de/10005870300
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Credit gap risk in a first passage time model with jumps
Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - Centre for Practical Quantitative Finance <Frankfurt, Main> - 2009
The payoff of many credit derivatives depends on the level of credit spreads. Inparticular, credit derivatives with a leverage component are subject to gap risk, a riskassociated with the occurrence of jumps in the underlying credit default swaps. Inthe framework of first passage time models, we...
Persistent link: https://www.econbiz.de/10008695276
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Modellierung desKreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 2009
key focus of thisworking paper.Literature distinguishes between three different kinds of credit pricing models: Asset …
Persistent link: https://www.econbiz.de/10008695277
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Firm Migration and Stock Returns
Puopolo, Giovanni W. - Finrisk - 2009
This paper studies the asset pricing implications of a general equi-librium model in which real investment is …
Persistent link: https://www.econbiz.de/10009022140