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The credit risk components of a swap portfolio
Hübner, Georges - In: The journal of futures markets 24 (2004) 1, pp. 93-115
Persistent link: https://www.econbiz.de/10001850816
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Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009
Bacchetta, Philippe; Merrouche, Ouarda - 2015
disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …
Persistent link: https://www.econbiz.de/10011507853
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Special issue on credit risk and credit derivatives
Webb, Robert I. (contributor) - 2004
Persistent link: https://www.econbiz.de/10001850803
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Copula sensitivity in collateralized debt obligations and basket default swaps
Meneguzzo, Davide; Vecchiato, Walter - In: The journal of futures markets 24 (2004) 1, pp. 37-70
Persistent link: https://www.econbiz.de/10001850813
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Credit risk management in Greater China
Byström, Hans N. E. - In: The journal of futures markets 28 (2008) 6, pp. 582-597
Persistent link: https://www.econbiz.de/10003715013
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Back to the future : futures margins in a future credit default swap index futures market
Byström, Hans N. E. - In: The journal of futures markets 27 (2007) 1, pp. 85-104
Persistent link: https://www.econbiz.de/10003493001
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The man in the middle-liquidity provision under central clearing in the credit default swap market : a regression discontinuity approach
Schönemann, Gregor - In: The journal of futures markets 42 (2022) 3, pp. 446-471
Persistent link: https://www.econbiz.de/10012817941
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Credit default swaps and firm risk
Lin, Hai; Binh Hoang Nguyen; Wang, Junbo; Zhang, Cheng - In: The journal of futures markets 43 (2023) 11, pp. 1668-1692
Persistent link: https://www.econbiz.de/10014432924
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Valuing retail credit tranches with structural, double mixture models
Bae, Taehan; Iscoe, Ian; Kim, Changki - In: The journal of futures markets 35 (2015) 9, pp. 849-867
Persistent link: https://www.econbiz.de/10011392664
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226