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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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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …
Persistent link: https://www.econbiz.de/10003750300
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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 … models are the key focus of this working paper. -- Credit risk pricing models ; asset-based models ; asset-value models … ; structural models ; intensity-based models ; reduced-form models ; credit derivatives ; credit default swap ; pricing ; valuation …
Persistent link: https://www.econbiz.de/10003874932
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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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Modellierung des Kreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance and Management - 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/10005049671
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Pro Rata Credit Risk Pooling Between Regional Banks : Economic Capital and Portfolio Granularity
Krebs, Martin - 2021
German savings and cooperative banks use credit risk pooling transactions as a specific type of synthetic credit risk transfer. This paper describes the effect of pro rata credit risk pooling transactions on the granularity of these banks’ credit portfolios. The change in granularity is...
Persistent link: https://www.econbiz.de/10013214394
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Default Probabilities and Default Correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001
Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...
Persistent link: https://www.econbiz.de/10005843735
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Asset Securitizations and Credit Risk
Barth, Mary E. - 2013
This study examines the sources of credit risk associated with asset securitizations and whether credit rating agencies and the bond market differ in their assessment of this risk. Measuring credit risk using credit ratings, we find the securitizing firm's credit risk is positively related to...
Persistent link: https://www.econbiz.de/10013092802
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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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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - Frankfurt School of Finance & Management - 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/10005865666