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Fricke, Daniel - 2021

Mutual fund risk-taking via active portfolio rebalancing varies both in the cross-section and over time. In this paper, I show that the same is true for funds' off- balance sheet risk-taking, even after controlling for on-balance sheet activities. For this purpose, I propose a novel measure of...

Persistent link: https://www.econbiz.de/10012489580

Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates.

Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 1999

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …

Persistent link: https://www.econbiz.de/10005357850

The Art of Quantitative Finance Vol. 3 : Risk, Optimal Portfolios, and Case Studies

Larcher, Gerhard - 2023

The textbook discusses risk management in capital markets and presents various techniques of portfolio optimization. Special attention is given to risk measurement and credit risk management. Furthermore, the author discusses optimal investment problems and presents various examples. In the last...

Persistent link: https://www.econbiz.de/10014248694

A risk model to compute the volatility and the need for collateral margins in energy futures contracts in Brazil

Argento, Pedro; Klotzle, Marcelo Cabus; Pinto, Antônio … - In: International journal of energy sector management 16 (2022) 3, pp. 448-468

Persistent link: https://www.econbiz.de/10013345666

Dynamic risk management and asset comovement

Brøgger, Søren Bundgaard - In: Journal of empirical finance 67 (2022), pp. 60-77

Persistent link: https://www.econbiz.de/10013464366

Counterparty credit risk : lessons from recent events

Ita, Andreas - In: Journal of risk management in financial institutions 16 (2022/2023) 3, pp. 256-272

Persistent link: https://www.econbiz.de/10014320240

A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives

Das, Sanjiv Ranjan; Sundaram, Rangarajan K. - In: Management Science 46 (2000) 1, pp. 46-62

This paper develops a framework for modelling risky debt and valuing credit derivatives that is flexible and simple to … spreads from assumptions concerning the default process, we work directly with the evolution of spreads. The risk … specifications for default; we present an empirical example of a default structure which provides promising calibration results. …

Persistent link: https://www.econbiz.de/10009191287

Pros and cons of using derivatives

GOGONCEA, Ramona; PAUN, Ioana-Diana - In: Theoretical and Applied Economics XVIII(2013) (2013) 9(586), pp. 87-102

that is the increase dealing with more complex financial instruments, such as derivatives. The purpose of my research is to … show the advantages given by using derivatives, being aware of the costs and risks associated. …

Persistent link: https://www.econbiz.de/10011152616

How well do classical credit risk pricing models fit swap transaction data?

Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1998

Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …

Persistent link: https://www.econbiz.de/10011163405

Swap Credit Risk: An Empirical Investigation on Transaction Data.

Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1997

Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers …

Persistent link: https://www.econbiz.de/10011163416