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Credit Gap Risk in a First Passage Time Model with Jumps

Packham, Natalie - 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/10013154080

Valuation of a Cashflow CDO Without Monte Carlo Simulation

Gallagher, Donal A. - 2009

Unlike tranches of synthetic CDOs, that depend only on the defaults of the underlying securities, tranches of cashflow CDOs also depend on the interest cash flows from the coupons of the securities. Whilst fast, accurate, (semi-)analytic methods exist for pricing synthetic CDO tranches (Hull and...

Persistent link: https://www.econbiz.de/10013156360

Credit dynamics in a first passage time model with jumps

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

Persistent link: https://www.econbiz.de/10003905500

Credit gap risk in a first passage time model with jumps

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

Persistent link: https://www.econbiz.de/10003906967

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

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

Counterparty risk and counterparty choice in the credit default swap market

Du, Wenxin; Gadgil, Salil; Gordy, Michael B.; Vega, Clara - 2016

We investigate how market participants price and manage counterparty risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a large...

Persistent link: https://www.econbiz.de/10011578787

Hedging interest rate risk using a structural model of credit risk

Huang, Jing-Zhi; Shi, Zhan - 2016

This paper investigates predictions of structural credit risk models for interest rate sensitivities of corporate bond … corporate bond returns to the entire yield curve, thereby providing a solution to the puzzle. In addition, hedging effectiveness … corporate bond returns, we need to incorporate a more realistic DTSM in the existing structural models. Lastly, we find that …

Persistent link: https://www.econbiz.de/10011810957

The Valuation of Multivariate Equity Options by Means of Copulas : Theory and Application to the European Derivatives Market

Slavchev, Ivan; Wilkens, Sascha - 2011

This paper studies the valuation of multivariate equity options by determining the joint risk-neutral distribution of the underlying stock prices by means of copulas. In contrast to previous work which concentrates on two underlyings this study considers the general multivariate case. In...

Persistent link: https://www.econbiz.de/10014047700