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Optimal investment in credit derivatives portfolio under contagion risk

Bo, Lijun; Capponi, Agostino - In: Mathematical finance : an international journal of … 26 (2016) 4, pp. 785-834

Persistent link: https://www.econbiz.de/10011583805

Modeling joint default in correlation-sensitive instruments

Gatarek, Dariusz; Jabłecki, Juliusz - In: The journal of credit risk : published quarterly by … 12 (2016) 3, pp. 15-42

Persistent link: https://www.econbiz.de/10011642666

Survey of credit risk models in relation to capital adequacy framework for financial institutions

Nacaskul, Poomjai - In: Journal of governance and regulation : international … 5 (2016) 4, pp. 68-84

Persistent link: https://www.econbiz.de/10011673803

Debt market illiquidity and correlated default risk

Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273

Persistent link: https://www.econbiz.de/10012005695

A dynamic model of central counterparty risk

Bielecki, Tomasz R.; Cialenco, Igor; Feng, Shibi - In: International journal of theoretical and applied finance 21 (2018) 8, pp. 1-34

Persistent link: https://www.econbiz.de/10011970904

Interest rate swaps and corporate default

Jermann, Urban J.; Yue, Vivian Z. - In: Journal of economic dynamics & control 88 (2018), pp. 104-120

Persistent link: https://www.econbiz.de/10011973928

Should Derivatives be Privileged in Bankruptcy?

Bolton, Patrick - 2011

Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic …, even though this risk could be borne more efficiently by derivative counterparties. In addition, because super …-senior derivatives dilute existing creditors, they may lead firms to take on derivative positions that are too large from a social …

Persistent link: https://www.econbiz.de/10012461058

Derivatives Clearinghouses and Systemic Risk : A Bankruptcy and Dodd-Frank Analysis

Allen, Julia Lees - 2012

minimize the risk of clearinghouse insolvency through strict collateral, capital, and default management requirements, and (2 …

Persistent link: https://www.econbiz.de/10014178364

Bank loan renegotiation and credit default swaps

Clark, Brian; Donato, James; Francis, Bill B.; Shohfi, … - In: Journal of banking & finance 151 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463074

Exposure at default modeling with default intensities

Witzany, Jiří - In: European financial and accounting journal : EFAJ 6 (2011) 4, pp. 20-48

The paper provides an overview of the Exposure at Default (EAD) definition, requirements, and estimation methods as set by the Basel II regulation. A new methodology connected to the intensity of default modeling is proposed. The numerical examples show that various estimation techniques may...

Persistent link: https://www.econbiz.de/10011460072