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Pricing Interest Rate Derivatives Under Different Interest Rate Modeling : A Critical and Empirical Comparison

De Simone, Antonio - 2011

This paper deals with issues related to the choice of the interest rate model to price interest rate derivatives. After the development of the market models, choosing the interest rate model has become almost a trivial task. However, their use is not always possible, so that the problem of...

Persistent link: https://www.econbiz.de/10013130645

Irreducible Risks of Hedging a Bond with a Default Swap

Kapoor, Vivek - 2019

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap … framework uses bond recovery and time to default, which are correlated, to calculate the variance of the hedging errors and the … optimal hedge ratio for the bond-CDS trade. The results show that there are irreducible risks when hedging a defaultable bond …

Persistent link: https://www.econbiz.de/10012868327

Inflation-Adjusted Bonds, Swaps, and Derivatives

Jarrow, Robert A.; Yildirim, Yildiray - 2022

and inflation risk premium. A literature investigating the efficiency of the inflation derivative markets and a comparison …

Persistent link: https://www.econbiz.de/10013293658

Insurance options : beating the benchmark : are catastrophe bonds more profitable than corporate bonds?

Caro Barrera, José Rafael - In: Revista de métodos cuantitativos para la economía y … 29 (2020), pp. 3-17

In this paper, we establish a comparison between one of the most traded financial derivatives in the markets, the so-called catastrophe bonds (abbreviated as cat bonds) and the corporate bonds. In the first section, we start from a brief definition as well as some basic concepts. In section two,...

Persistent link: https://www.econbiz.de/10012259883

Modeling default dependence with threshold models

Overbeck, Ludger; Schmidt, Wolfgang M. - 2003

default probabilities. -- Credit default ; credit derivative ; default dependence ; structural form models ; threshold model …

Persistent link: https://www.econbiz.de/10003853455

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

Persistent link: https://www.econbiz.de/10011293916

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918

Hedge Fund Replication : Putting the Pieces Together

Weber, Vincent - 2013

In this paper, we aim to bring together into one common framework various advances in factor-based hedge fund replication. Our replication methodology relies on a set of investable dynamic risk factors extracted from futures contract prices and on an automatic variable and model selection...

Persistent link: https://www.econbiz.de/10013088439

Credit Dynamics in a First Passage Time Model with Jumps

Packham, Natalie - 2010

Persistent link: https://www.econbiz.de/10013150888

Credit Gap Risk in a First Passage Time Model with Jumps

Packham, Natalie - 2009

Persistent link: https://www.econbiz.de/10013154080