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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies … should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013128337
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Credit Ratings in Structured Finance and the Role of Systemic Risk
Violi, Roberto - 2011
This paper explores the implications of systemic risk in Credit Structured Finance (CSF). Risk measurement issues … contagion (‘correlation risk'). Two policy implications are drawn from a 'dynamic' GSRFM: (i) when rating CSF deals, Agencies … should disclose additional risk information (e.g. the expected losses under stressed scenarios; asset correlation estimates …
Persistent link: https://www.econbiz.de/10013131934
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Basis Risk When Hedging a Global Credit Portfolio
Chamizo, Alvaro - 2017
The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...
Persistent link: https://www.econbiz.de/10012944310
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Basis Risk in Hedging a CDS Portfolio with Credit Indices
Chamizo, Alvaro - 2017
adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS …
Persistent link: https://www.econbiz.de/10012970402
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Endogenous Recovery and Replication of A Segregated Derivatives Economy with Counterparty Credit, Collateral, and Market Funding
Lou, Wujiang - 2016
We cast the ongoing debate on FVA onto a segregated derivative economy, where counterparties are defaultable and unable to post collateral fully. The economy exhibits funding asymmetry in that deposit and borrowing have differing rates. A close examination of the micro financing structure of...
Persistent link: https://www.econbiz.de/10013007738
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Correlated default with incomplete information
Giesecke, Kay - 2001
correlation measure, which overcomes the limitations of existing covariance based measures. A case study is examined, where …
Persistent link: https://www.econbiz.de/10009621426
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A Model for Dependent Defaults and Pricing Contingent Claims with Counterparty Risk
Gatarek, Dariusz - 2016
framework for pricing products whose values depend on credit correlation between the counterparty and the reference entity. The …
Persistent link: https://www.econbiz.de/10013007520
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Risk measures in finance : congruent or contrasting?
Lalwani, Vaibhav; Bedi, Prateek; Shankar, Devesh - In: Business analyst : a refereed journal of Shri Ram … 39 (2018) 1, pp. 165-180
Persistent link: https://www.econbiz.de/10012391033
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Extended Value at Risk (EVaR) Measure for Market Risk
Chaudhury, Mo - 2011
In July 2009, following the financial crisis, the Basel Committee on Banking Supervision made changes to the Value at Risk (VaR) framework for the market risk capital of bank trading books. While the new rule boosts capital standards, the capital requirement seems overly burdensome and not...
Persistent link: https://www.econbiz.de/10013127086
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How Index Futures and ETFs Affect Stock Return Correlations
Leippold, Markus - 2016
impact on stock return correlations than shocks to futures. We confirm the model predictions by studying the correlation of U …
Persistent link: https://www.econbiz.de/10013004525