Search Results - subject:"spread risk"

Hedging of synthetic CDO tranches with spread and default risk based on a combined forecasting approach

Liu, Wen-Qiong; Huang, Wen-Li - In: International journal of theoretical and applied finance 22 (2019) 2, pp. 1-17

Persistent link: https://www.econbiz.de/10012012947

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets – Kredit und Kapital 47 (2014) 4, pp. 571-610

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … intensity. This paper defines and estimates a measure of the spread risk premium component in CDS spreads of a sample of … supply/demand effects, a panel data analysis of the estimated spread risk premia reveals a positive impact of event risk …

Persistent link: https://www.econbiz.de/10014522247

Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress

Odermann, Alexander; Cremers, Heinz - 2013

residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero …

Persistent link: https://www.econbiz.de/10010324341

Komponenten und Determinanten des Credit Spreads: Empirische Untersuchung während Phasen von Marktstress

Odermann, Alexander; Cremers, Heinz - Frankfurt School of Finance and Management - 2013

residual spread risk. To specify the proper credit spread level, various mesurement methods like the yield to maturity, zero …

Persistent link: https://www.econbiz.de/10010985132

Dynamic hedging of portfolio credit derivatives

Cont, Rama; Kan, Yu Hang - HAL - 2011

We compare the performance of various hedging strategies for index collateralized debt obligation (CDO) tranches across a variety of models and hedging methods during the recent credit crisis. Our empirical analysis shows evidence for market incompleteness: a large proportion of risk in the CDO...

Persistent link: https://www.econbiz.de/10008873568

New recipes for estimating default intensities

Baranovski, Alexander; von Lieres und Wilkau, Carsten; … - 2009

This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral...

Persistent link: https://www.econbiz.de/10010276969

New recipes for estimating default intensities

Baranovski, Alexander; Lieres, Carsten von; Wilch, André - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2009

pricing, spread risk modelling, credit risk modelling, loan book valuation, CIR model JEL classification: C13, C20 and C22 … pricing or spread risk and credit risk models for risk management purposes. Typically, the output of such pricing or risk …

Persistent link: https://www.econbiz.de/10005677894

Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and Capital Markets 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10011096054

Spread risk premia in corporate credit default swap markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

A note on the risk management of CDOs

Laurent, Jean-Paul - HAL - 2006

such as CDO tranches on iTraxx or CDX. Credit spread risk is dynamically hedged using single name defaultable claims such …

Persistent link: https://www.econbiz.de/10008794771