搜索结果: 1-15 共查到“货币银行学 Default”相关记录21条 . 查询时间(0.062 秒)
Do credit default swaps predict currency values?
four currencies the US Dollar the lead-lag relationship Credit Default Swapmarket the currency market
2011/9/2
Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR), British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar (USD), and JPY, USD, GBP and AUD in terms of the EUR fro...
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
theoretical equivalence credit spreads equilibrium condition discovery process
2011/8/23
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
VALUATION OF CREDIT DEFAULT SWAPTIONS AND CREDIT DEFAULT INDEX SWAPTIONS
Black formula credit default index swap Credit default swap credit default swaption hedging
2011/8/22
The paper provides simple and rigorous, albeit fairly general, derivations of valuation formulae for credit default swaptions and credit default index swaptions. Results of this work cover as special ...
Collateralized CDS and Default Dependence
CVA CSA CCP swap collateral derivatives OIS EONIA Fed-Fund
2011/7/22
In this paper, we have studied the pricing of a continuously collateralized CDS. We have made use of the "survival measure" to derive the pricing formula in a straightforward way. As a result, we have...
Default Clustering in Large Portfolios: Typical and Atypical Events
Large Portfolios Default Clustering Typical Atypical Events
2011/7/22
Abstract: We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical and atypical default profiles in the limit as the size of the pool grows. I...
American Step-Up and Step-Down Credit Default Swaps under Levy Models
American Step-Up Step-Down Credit Default Swaps Models
2011/1/4
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
Pricing and Hedging in Affine Models with Possibility of Default
Pricing Hedging in Affine Models Possibility of Default
2011/1/4
We propose a general class of models for the simultaneous treatment of equity, corporate bonds, government bonds and derivatives. The noise is generated by a general affine Markov process. The framewo...
Simple Fuzzy Score for Russian Public Companies Risk of Default
Simple Fuzzy Score Russian Public Companies Risk Default
2010/10/19
The model is aimed to discriminate the 'good' and the 'bad' companies in Russian corporate sector based on their financial statements data based on Russian Accounting Standards. The data sample consi...
Non-existence of Markovian time dynamics for graphical models of correlated default
Markovian time dynamics graphical models correlated default
2010/10/21
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond...
Credit Risk, Market Sentiment and Randomly-Timed Default
Credit Risk Market Sentiment Randomly-Timed Default
2010/10/20
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed t...
Validation of credit default probabilities via multiple testing procedures
credit default probabilities testing procedures
2010/10/21
We apply multiple testing procedures to the validation of estimated default probabilities in credit rating systems. The goal is to identify rating classes for which the probability of default is estim...
Discussion of Qian, Reinhart, and Rogoff’s “On Graduation from Default, Inflation and Banking Crises: Ellusive or Illusion”
Default Infl ation Banking Crises Ellusive Illusion
2014/3/12
Qian et al. (2010) (henceforth QRR) have assembled an impressively rich data set on external default, banking, and monetary crises. This paper is part of an ambitious project on placing crises in the ...
Default Risk Modeling Beyond the First-Passage Approximation: Extended Black-Cox Model
Default Risk Modeling the First-Passage Approximation Extended Black-Cox Model
2010/10/18
We develop a generalization of the Black-Cox structural model of default risk. The extended model captures uncertainty related to firm's ability to avoid default even if company's liabilities momentar...
A Coupled Markov Chain approach to risk analysis of credit default swap index products
Coupled Markov Chain risk analysis credit default swap index products
2010/11/3
We apply a Coupled Markov Chain approach to model rating transitions and thereby default probabilities of companies. We estimate parameters by applying a maximum likeli-hood estimation using a large s...