credit derivatives
The Credit Derivatives Market – A Threat to Financial Stability?
... Credit derivatives occurred as a solution to the needs of managing credit risks by the financial institutions, mainly ...diversifying credit risks, derivatives become tempting for those ...
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Credit derivatives in emerging markets
... corporate credit risk is through credit linked notes and other more structured forms of credit ...corporate credit risk. Frequently investors are the sellers of credit protection and ...
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The Promise and Perils of Credit Derivatives
... of credit default swaps is analogous to an exchange traded fund ...the credit default swap index is more like a commodity product, such as an ETF or even an index fund, whose value is calculated by ...
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Pricing portfolio credit derivatives
... -to-default swap spreads and tranchelets in an intensity-based credit risk model with default con- tagion. The default dependence is modelled by letting individual intensities jump when other defaults occur. The ...
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Credit Derivatives in an Affine Framework
... It is worth mentioning that, instead of modeling default by setting a barrier for the credit index as in structural models (see e.g. [7, 1]), we add an extra in- dicator in order to overcome the difficulty of ...
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The implications of credit derivatives regulations in the EU
... use derivatives for transferring risk, especially in the case of companies whose use of derivatives is below a given threshold 114 ...default credit derivatives that will affect the ...
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Credit derivatives and loan pricing
... of credit derivatives (Table ...using credit derivatives must be higher than the cost of using ...of credit derivatives hold less ...
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Information Asymmetry in Pricing of Credit Derivatives
... In this paper, we are interested in the impact of information accessibility of an agent on the pricing of credit derivatives. In particular, we aim to study the information concerning the default threshold ...
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Dynamic hedging of portfolio credit derivatives
... the credit portfolio loss dynamic in the modeling ...those credit derivatives provide information only on the marginal distribution of the loss process at some fixed ...
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Quantitative Modeling of Credit Derivatives
... in credit derivatives can experience substantial losses even in absence of any ...of credit quality of the underlying obligors, which is reflected in their credit ...of credit spreads ...
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Credit Derivatives and Sovereign Debt Crises
... However, credit derivatives are traded in decentralized markets and the ultimate sellers of protection are likely to be widely dispersed (even though the bondholder may originally buy protection from a ...
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Endogenous credit derivatives and bank behavior
... transfer credit risk applying a credit derivative in the form of a credit default swap ...sells credit risk and bank 2 only buys credit ...negotiating credit derivatives ...
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Credit Derivatives and Global Financial Crisis
... with credit derivatives is given ...vehicles, derivatives that resulted in negative basis trades moving CDO risk as well as derivatives that created additional long exposure to subprime ...
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Top-Down Models for Credit Derivatives
... the credit derivatives market consists of various derivatives prod- ucts, such as credit-linked notes (CLNs), credit spread options (CSOs) and swaptions, the most important ...
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Credit derivatives: new financial instruments for controlling credit risk
... for credit derivatives. Banks may find that hedging credit risk actually increases their capital ...a credit derivative to construct a long-term hedge for the credit risk of a large ...
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Techniques used on the credit derivatives market: credit default swaps.
... he credit derivatives market has seen substantial growth in volume terms over the past three ...of credit risk, can partly be ascribed to the deteriorating credit status of a large number of ...
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Valuation of Credit Derivatives
... price credit derivatives like ...the credit field by Li (2000) has become an industry standard, its theoretical foundations, such as credit spread dynamics may be ...
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Credit Derivatives Possible Implications for Financial Stability
... for credit default swaps remains to be fully tested during a full economic ...ISDA Credit Derivative Definitions reduce the legal risks, but there are still out- standing issues such as a standard ...
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Essays in credit derivatives
... In this section we modify the credit derivatives pricing model to incorpo- rate the empirical results in the previous sections. In the last paragraph of Acharya et al. (2007), the authors suggest future ...
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Residential Mortgage Credit Derivatives
... While using securitized loans may be one of the only ways to analyze the hedge effectiveness of residential mortgage credit derivatives, doing so may bias the results. This approach may overstate the ...
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