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This paper presents an alternative modelling of the term structure of the credit spreads under a structural approach. We rely upon the barrier option pricing frameworkto price a corporate zero-coupon bond with a stochastic present value of the recovery consistent with the evidence on the...
Persistent link: https://www.econbiz.de/10005738698
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have recently addressed the problem of pricing swap credit risk. We implement a recent credit risk pricing model in order to attempt to evaluate a line of research in theoretical credit...
Persistent link: https://www.econbiz.de/10005558868
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers have recently addressed the problem of pricing swap credit risk, the empirical literature is almost non-existent. This is the only study we know of that uses actual transaction...
Persistent link: https://www.econbiz.de/10005558895
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This paper is an opinion on the public consultation on possible changes to the Capital Requirements Directive1 and more particularly on the Annex IX Part 2 (item 10 on the Technical Amendments to Directive 2006/48/Ec), related to the significance of the risk transfer in the context of...
Persistent link: https://www.econbiz.de/10005146702
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have addressed the problem of pricing swap credit risk. I propose a complete implementation procedure of the structural line of research in theoretical credit risk analysis in order to...
Persistent link: https://www.econbiz.de/10005357850
Standard sector classification frameworks present drawbacks that might hinder portfolio manager. This paper introduces a new non-parametric approach to equity classification. Returns are decomposed into their fundamental drivers through Independent Component Analysis (ICA). Stocks are then...
Persistent link: https://www.econbiz.de/10005357852
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