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Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358

The Pricing of Subprime Mortgage Risk in Good Times and Bad : Evidence from the ABX.HE Indices

Fender, Ingo - 2013

This paper investigates the market pricing of subprime mortgage risk on the basis of data for the ABX.HE family of indices, which have become a key barometer of mortgage market conditions during the recent financial crisis. After an introduction into ABX index mechanics and a discussion of...

Persistent link: https://www.econbiz.de/10013095930

Understanding the market reaction to shockwaves : evidence from the failure of Lehman Brothers

Dumotaux, Nicolas; Pop, Adrian - In: Journal of financial stability 9 (2013) 3, pp. 269-286

Persistent link: https://www.econbiz.de/10010237087

Default Ambiguity : Credit Default Swaps Create New Systemic Risks in Financial Networks

Schuldenzucker, Steffen - 2019

situation where it is impossible to decide which banks are in default. Specifically, we study the clearing problem: given a … banks can also enter into credit default swaps (CDSs), the clearing problem may have no solution or multiple conflicting …

Persistent link: https://www.econbiz.de/10012900994

CDS Central Counterparty Clearing Liquidation : Road to Recovery or Invitation to Predation?

Tywoniuk, Magdalena - 2020

Recent regulation, mandating the clearing of credit default swaps (CDS) by a Central Clearing Counterparties (CCP), has …

Persistent link: https://www.econbiz.de/10012844084

Transparency and collateral : the design of CCPs' loss allocation rules

Antinolfi, Gaetano; Carapella, Francesca; Carli, Francesco - 2019

, they may prefer bilateral clearing to prevent strategic default by borrowers and to economize on costly collateral. Central …This paper adopts a mechanism design approach to study optimal clearing arrangements for bilateral financial contracts … lender to acquire such information. Central clearing of these financial contracts through a central counterparty (CCP) allows …

Persistent link: https://www.econbiz.de/10012182024

The questionable benefits of mutual clearing agreements for derivatives

Tywoniuk, Magdalena - 2020

Recently, for standard asset classes, the first mutual clearing agreements between Central Coun- terparties (CCPs) have … agreement framework to credit default swaps (derivatives) CCPs and compares this to clearing without any such agreement. Key …

Persistent link: https://www.econbiz.de/10012271216

How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches

Scheicher, Martin - 2008

This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...

Persistent link: https://www.econbiz.de/10011604956

Coronavirus : Case for Digital Money?

Kakushadze, Zura - 2020

We discuss the pros of adopting government-issued digital currencies as well as a supranational digital iCurrency. One such pro is to get rid of paper money (and coinage), a ubiquitous medium for spreading germs, as highlighted by the recent coronavirus outbreak. We set forth three policy...

Persistent link: https://www.econbiz.de/10012839523

iCurrency?

Kakushadze, Zura - 2020

We discuss the idea of a purely algorithmic universal world iCurrency set forth in: "https://ssrn.com/abstract=2542541" https://ssrn.com/abstract=2542541 and expanded in: "https://ssrn.com/abstract=3059330" https://ssrn.com/abstract=3059330 in light of recent developments, including Libra. Is...

Persistent link: https://www.econbiz.de/10012847994