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Institutional investment horizon, the information environment, and firm credit risk

Switzer, Lorne N.; Wang, Jun - In: Journal of financial stability 29 (2017), pp. 57-71

Persistent link: https://www.econbiz.de/10011825579

Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps

Huang, Jhe-Jheng; So, Leh-Chyan - In: Journal of mathematical finance 8 (2018) 2, pp. 382-407

Persistent link: https://www.econbiz.de/10011874816

Estimating a covariance matrix for market risk management and the case of credit default swaps

Neuberg, Richard; Glasserman, Paul - In: Quantitative finance 19 (2019) 1, pp. 77-92

Persistent link: https://www.econbiz.de/10012194621

International diversification and global credit risk : a methodology for portfolio building

Martín-Bujack, Karin; Corzo, M. Teresa; … - In: Universia business review : UBR (2018) 58, pp. 92-136

Persistent link: https://www.econbiz.de/10012118553

Do NPL portfolio sales help reduce banks' financing costs?

Manz, Florian; Kiesel, Florian; Schiereck, Dirk - In: Economics letters 182 (2019), pp. 93-97

Persistent link: https://www.econbiz.de/10012122440

The role of Asian Credit Default Swap index in portfolio risk management

Liu, Jianxu; Chatchai Khiewngamdee; Songsak Sriboonchitta - In: Robustness in econometrics, (pp. 435-447). 2017

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Financial stochastic modeling and the subprime crisis

Latifa, Aitoutouhen; Faris, Hamza - In: International journal of economics, finance and … 4 (2016) 2, pp. 67-77

Persistent link: https://www.econbiz.de/10011657951

Mutual Fund Holdings of Credit Default Swaps : Liquidity Management and Risk Taking

Zhu, Zhongyan - 2016

Using a comprehensive dataset of mutual funds' quarterly holdings of credit default swap (CDS) contracts during 2007-2011, we analyze the motives for and consequences of mutual funds' participation in the CDS market pre- and post-financial crisis. Consistent with theoretical work, funds resort...

Persistent link: https://www.econbiz.de/10012998315

Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358

Capital Market Finance : An Introduction to Primitive Assets, Derivatives, Portfolio Management and Risk

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

Options on Interest Rates -- 18 Elements of Stochastic Calculus -- 19 *The Mathematical Framework of Financial Markets Theory … -- 20 The State Variables Model and the Valuation Partial Differential Equation -- Part 3 Portfolio Theory and Portfolio … Asset Pricing Model -- 23 Arbitrage Pricing Theory and Multi-Factor Models -- 24 Strategic Portfolio Allocation -- 25 …

Persistent link: https://www.econbiz.de/10013441427