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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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Do correlated defaults matter for CDS premia? An empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010409362
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Do Correlated Defaults Matter for CDS Premia? An Empirical Analysis
Koziol, Christian - 2016
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10012988732
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Do correlated defaults matter for CDS premia? An empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - Deutsche Bundesbank - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010984740
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Why adding firm value with a put feature in debt contracts is better than renegotiation
Koziol, Christian - In: Review of managerial science 4 (2010) 1, pp. 53-90
Persistent link: https://www.econbiz.de/10003956492
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Impact of imperfect information on the optimal exercise strategy for warrants
Koziol, Christian - In: European financial management : the journal of the … 16 (2010) 3, pp. 374-399
Persistent link: https://www.econbiz.de/10003989800
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A simple correction of the WACC discount rate for default risk and bankruptcy costs
Koziol, Christian - In: Review of quantitative finance and accounting 42 (2014) 4, pp. 653-666
Persistent link: https://www.econbiz.de/10010433536
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Valuation of convertible bonds when investors act strategically
Koziol, Christian - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002063123
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What makes a bank risky? : insights from the optimal capital structure of banks
Koziol, Christian; Lawrenz, Jochen - In: Journal of banking & finance 33 (2009) 5, pp. 861-873
Persistent link: https://www.econbiz.de/10003836436