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

Cossin, Didier - In: European financial management : the journal of the … 4 (1998) 1, pp. 65-77

Persistent link: https://www.econbiz.de/10001244082

Statistical Modeling of Credit Default Swap Portfolios

Cont, Rama - 2011

We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...

Persistent link: https://www.econbiz.de/10013129079

Optimal Credit Swap Portfolios

Giesecke, Kay - 2018

, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multi … portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios …

Persistent link: https://www.econbiz.de/10012940733

Mutual Fund Holdings of Credit Default Swaps : Liquidity, Yield, and Risk

Jiang, Wei - 2020

This study analyzes the motives for and consequences of funds' credit default swap (CDS) investments using mutual funds …

Persistent link: https://www.econbiz.de/10012856375

Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling

Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518

Persistent link: https://www.econbiz.de/10012624151

Capital market finance : an introduction to primitive assets, derivatives, portfolio management and risk

Poncet, Patrice; Portait, Roland; Toder, Igor - 2022

Persistent link: https://www.econbiz.de/10012628654

A derivatives pricing model with non-cash collateralization

Takino, Kazuhiro - In: The journal of derivatives : JOD 29 (2021) 1, pp. 123-138

Persistent link: https://www.econbiz.de/10012612946

Credit volatility indexes

Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020

Persistent link: https://www.econbiz.de/10012419450

Should bank loan portfolio be diversified under government capital injection and deposit insurance fund protection?

Chen, Shi; Chang, Chuen-Ping - In: International review of economics & finance : IREF 38 (2015), pp. 131-141

Persistent link: https://www.econbiz.de/10011572342

Hedging systematic risk in high yield portfolios with a synthetic overlay : a comparative analysis of equity instruments vs. credit default swaps

Dor, Arik Ben; Guan, Jingling - In: The journal of fixed income 26 (2017) 4, pp. 5-24

Persistent link: https://www.econbiz.de/10011684756

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