搜索结果: 1-15 共查到“经济学 swaps”相关记录19条 . 查询时间(0.068 秒)
During the past twenty years, swap contracts have become key ®nancial ` adapters' linking diverse national ®nancial systems to the global ®nancial network. Today banks and investment co...
Pricing credit default swaps with bilateral value adjustments
Pricing credit default swaps bilateral value adjustments
2012/9/14
A three-dimensional extension of the structural default model with rms' values driven by correlated di usion processes is presented. Green's function based semi-analytical methods for solving the for...
A structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
2012/9/14
A multi-dimensional extension of the structural default model with rms' values driven by di usion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities
Modeling and Pricing of Covariance Correlation Swaps Financial Markets Semi-Markov Volatilities Pricing of Securities
2012/6/5
In this paper, we model financial markets with semi-Markov volatilities and price covarinace and correlation swaps for this markets. Numerical evaluations of vari- nace, volatility, covarinace and cor...
Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
Credit Default Swaps Drawup Networks Risk Management
2012/6/2
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns ...
On Pricing Basket Credit Default Swaps
Basket Credit Default Swaps Interacting Intensity Ordered Default Time Distribution Analytic Pricing Formula
2012/4/28
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensi...
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...
Model independent hedging strategies for variance swaps
hedging strategies variance swaps Pricing of Securities
2011/7/25
Abstract: A variance swap is a derivative with a path-dependent payoff which allows investors to take positions on the future variability of an asset. In the idealised setting of a continuously monito...
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...
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting par...
Credit Default Swaps Liquidity modeling: A survey
Credit Default Swaps Liquidity modeling survey
2010/10/18
We review different approaches for measuring the impact of liquidity on CDS prices. We start with reduced form models incorporating liquidity as an additional discount rate. We review Chen, Fabozzi an...
A model-insensitive determination of First-hitting-time densities with Application to Equity default-swaps
model-insensitive First-hitting-time densities Application Equity default-swaps
2010/10/18
Equity default-swaps pay the holder a fixed amount of money when the underlying spot level touches a (far-down) barrier during the life of the instrument. While most pricing models give reasonable re...
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting par...