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Lüssem, Jens; Schumacher, Jürgen - 2002

Persistent link: https://www.econbiz.de/10009624847

Credit risk modeling and valuation : an introduction

Giesecke, Kay - 2002

Credit risk refers to the risk of incurring losses due to unexpected changes in the credit quality of a counterparty or issuer. In this paper we give an introduction to the modeling of credit risks and the valuation of credit-risky securities. We consider individual as well as correlated credit...

Persistent link: https://www.econbiz.de/10009625799

Default compensator, incomplete information, and the term structure of credit spreads

Giesecke, Kay - 2001

informational asymmetries. While bond investors observe default incidents, we suppose that they have incomplete information on the …

Persistent link: https://www.econbiz.de/10009620780

Giesecke, Kay - 2001

We propose a model of correlated multi-firm default with incomplete information. While public bond investors observe … liquidated. Bond investors form instead a prior on these thresholds. Stochastic dependence between default events is induced … issuers' assets follow geometric Brownian motions and bond investors' threshold prior is uniform. -- incomplete information …

Persistent link: https://www.econbiz.de/10009621426

Compensator-based simulation of correlated defaults

Giesecke, Kay - 2002

The market for derivatives with payoffs contingent on the credit quality of a number of reference entities has grown considerably over recent years. The risk analysis and valuation of such multi-name structures often relies on simulating the performance of the underlying credits. In this paper...

Persistent link: https://www.econbiz.de/10009624843

Tax clientele effects in the German bond market

Stehle, Richard; Jaschke, Stefan R.; Wernicke, Stefan - 1998

This paper presents an analysis of tax clientele effects in the German government bond market from the viewpoint of … estimation of the term structure from coupon bond prices and the valuation of interest rate derivatives. -- linear programming …

Persistent link: https://www.econbiz.de/10009574878

Estimating yield curves by Kernel smoothing methods

Linton, Oliver; Mammen, Enno; Nielsen, Jens Perch; … - 1998

We introduce a new method for the estimation of discount functions, yield curves and forward curves from government issued coupon bonds. Our approach is non-parametric and does not assume particular functional form for the discount function although we do show how to impose various restrictions...

Persistent link: https://www.econbiz.de/10009580489

Correlation risk premia for multi-asset equity options

Fengler, Matthias R. (contributor); … - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919088

Nonparametric methods on continuous-time finance : a selective review

Cai, Zongwu (contributor); Hong, Yongmiao (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919184

Fitting the smile revisited : a least squares kernel estimator for the implied volatility surface

Fengler, Matthias R. (contributor); Wang, Qihua (contributor) - 2003 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001919426