Search Results - subject:"Collateralized Debt Obligations"

Choros, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009

the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities … crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations … 1 Collateralized Debt Obligations The collateralized debt obligation (CDO) is a financial instrument that enables securi …

Persistent link: https://www.econbiz.de/10003814501

Liquidität, Risikoeinstellung des Kapitalmarktes und Konjunkturerwartung als Preisdeterminanten von Collateralized Debt Obligations (CDOs) : eine simulationsgestützte Analyse

Gann, Philipp - 2009

Kapitalmarktes und Liquidität auf die Marktwerte von Collateralized Debt Obligations (CDOs) verschiedener Seniorität. Es wird gezeigt …

Persistent link: https://www.econbiz.de/10003861125

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and liquidity. Our analysis confirms the existence...

Persistent link: https://www.econbiz.de/10013156973

The impact of earnings on the pricing of credit default swaps

Callen, Jeffrey L.; Livnat, Joshua; Segal, Dan - In: The accounting review : a publication of the American … 84 (2009) 5, pp. 1363-1394

Persistent link: https://www.econbiz.de/10003897652

Empirical evidence on the dependence of credit default swaps and equity prices

Dupuis, Debbie; Jacquier, Eric; Papageorgiou, Nicolas; … - In: The journal of futures markets 29 (2009) 8, pp. 695-712

Persistent link: https://www.econbiz.de/10003899237

Basket CDS pricing with interacting intensities

Zheng, Harry; Jiang, Lishang - In: Finance and stochastics 13 (2009) 3, pp. 445-469

Persistent link: https://www.econbiz.de/10003899327

Credit contagion from counterparty risk

Jorion, Philippe; Zhang, Gaiyan - In: The journal of finance : the journal of the American … 64 (2009) 5, pp. 2053-2087

Persistent link: https://www.econbiz.de/10003899586

Are credit spreads too low or too high? : a hybrid barrier option approach for financial distress

Lin, William; Sun, David - In: The journal of futures markets 29 (2009) 12, pp. 1161-1189

Persistent link: https://www.econbiz.de/10003900991

Pricing kth-to-default swaps in a Lévy-time framework

Mai, Jan-Frederik; Scherer, Matthias - In: The journal of credit risk : published quarterly by … 5 (2009/10) 3, pp. 55-70

Persistent link: https://www.econbiz.de/10003903240

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

Persistent link: https://www.econbiz.de/10003906967