Credit default swaps: A survey
P Augustin, MG Subrahmanyam… - … and trends® in …, 2014 - nowpublishers.com
Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …
markets. However, their role has been hotly debated, in industry and academia, particularly …
Exploring the sources of default clustering
S Azizpour, K Giesecke, G Schwenkler - Journal of Financial Economics, 2018 - Elsevier
We study the sources of corporate default clustering in the United States. We reject the
hypothesis that firms' default times are correlated only because their conditional default rates …
hypothesis that firms' default times are correlated only because their conditional default rates …
The empirical analysis of liquidity
CW Holden, S Jacobsen… - … and Trends® in …, 2014 - nowpublishers.com
We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …
measurement literature has established standard measures of liquidity that apply to broad …
[BOOK][B] Understanding and Managing Model Risk: A practical guide for quants, traders and validators
M Morini - 2011 - books.google.com
A guide to the validation and risk management of quantitative models used for pricing and
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …
hedging Whereas the majority of quantitative finance books focus on mathematics and risk …
[PDF][PDF] Default clustering and valuation of collateralized debt obligations
X Peng, S Kou - Working Paper, 2009 - Citeseer
The recent financial turmoil has witnessed the powerful impact of the default clustering effect
(ie, one default event tends to trigger more default events in the future and crosssectionally) …
(ie, one default event tends to trigger more default events in the future and crosssectionally) …
Risk assessment based on the analysis of the impact of contagion flow
C Edirisinghe, A Gupta, W Roth - Journal of Banking & Finance, 2015 - Elsevier
This paper presents a new framework to model and calibrate the process of firm value
evolution when an unanticipated exogenous event impacting one firm can contagiously …
evolution when an unanticipated exogenous event impacting one firm can contagiously …
[PDF][PDF] Valuing CDOs of bespoke portfolios with implied multi-factor models
D Rosen, D Saunders - The Journal of Credit Risk, 2009 - Citeseer
This paper presents a robust and practical CDO valuation framework based on the
application of multi-factor credit models in conjunction with weighted Monte Carlo …
application of multi-factor credit models in conjunction with weighted Monte Carlo …
[PDF][PDF] Valuing “hard-to-value” assets and liabilities: notes on valuing structured credit products
C Smithson - Journal of Applied Finance, 2009 - Citeseer
Supervisors expect that a bank will have adequate capacity, including during periods of
stress, to establish and verify valuations for instruments in which it engages. A bank is …
stress, to establish and verify valuations for instruments in which it engages. A bank is …
Sato processes in default modelling
T Kokholm, E Nicolato - Applied Mathematical Finance, 2010 - Taylor & Francis
In reduced form default models, the instantaneous default intensity is the classical modelling
object. Survival probabilities are then given by the Laplace transform of the cumulative …
object. Survival probabilities are then given by the Laplace transform of the cumulative …
Collateralized Commodity Obligations: Modeling and Risk Assessment
S Borovkova, H Bunk, WJ de Goeij… - The Journal of …, 2013 - jai.pm-research.com
In this article the authors address the risk characteristics and rating of Collateralized
Commodity Obligations (CCO), which are recently devised structured products similar to the …
Commodity Obligations (CCO), which are recently devised structured products similar to the …