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A three-factor hazard rate model for single-name credit default swap pricing
Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63
Persistent link: https://www.econbiz.de/10014546386
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Selected topics in credit risk: Realistic modeling of correlations and new pricing approaches for credit products
Hüttner, Amelie Angelika - 2019
Persistent link: https://www.econbiz.de/10012108528
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CoCo bonds pricing with credit and equity calibrated first-passage firm value models
Brigo, Damiano; Garcia, João; Pede, Nicola - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403242
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Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357
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Pricing and hedging of structured credit derivatives
Hellmich, Martin; Steinkamp, Oliver - In: CreditRisk+ in the banking industry, (pp. 325-362). 2004
Persistent link: https://www.econbiz.de/10002108709
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Modeling of contagion effects and their influence to the pricing and hedging of basket credit derivatives
Wang, Qian - 2006 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003320531
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Affine pricing and hedging of collateralized debt obligations
Eksia, Zehra; Filipović, Damir - 2020
Persistent link: https://www.econbiz.de/10012419633
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CDS and credit : testing the small bang theory of the financial universe with micro data
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2017
Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple … relationships with riskier firms increase banks' CDS trading and hedging of these firms. Properly hedged banks holding more CDS …
Persistent link: https://www.econbiz.de/10011663406
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Mitigating counterparty risk
Gündüz, Yalın - 2018
effect on the hedging behaviour against the counterparty. As the current regulatory frameworks explicitly formulate any … capital relief motives and provides a viable hedging instrument beyond receiving coverage through collateral. …
Persistent link: https://www.econbiz.de/10011900709
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CDS and credit : after the bangs cheaper credit insurance, more lending and hedging
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2021
Persistent link: https://www.econbiz.de/10012796769