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Volatility and growth: Credit constraints and the composition of investment
Growth Volatility Credit constraints
2015/7/21
How does uncertainty and credit constraints affect the cyclical composition of
investment and thereby volatility and growth? This paper addresses this question
within a model where firms engag...
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,...
Using a time-varying approach, this paper examines the dynamics of volatility in the REIT sector. The results highlight the attractiveness and suitability of using GARCH based approaches in the modeli...
The Impact of Credit Risk and Implied Volatility on Stock Returns
Credit Risk Implied Volatility Stock Returns
2010/10/20
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of...