Showing 1 - 10 of 27
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation between sector spreads and rate shifts. However, we also...
Persistent link: https://www.econbiz.de/10010720326
Persistent link: https://www.econbiz.de/10005936065
In the second part of our series, we suggest new definitions of credit bond duration and convexity that remain consistent across all levels of credit quality including deeply distressed bonds and introduce additional risk measures that are consistent with the survival-based valuation framework....
Persistent link: https://www.econbiz.de/10012736371
In the third part of this series, we introduce consistent relative value measures for CDS-Bond basis trades using the bond-implied CDS term structure derived from fitted survival rate curves. We explain why this measure is better than the traditionally used Z-spread or Libor OAS and offer...
Persistent link: https://www.econbiz.de/10012736377
In this three-part series of papers, we argue that the conventional spread measures are not well defined for credit-risky bonds and introduce a set of credit term structures which correct for the biases associated with the strippable cash flow valuation assumption. We demonstrate that the...
Persistent link: https://www.econbiz.de/10012736378
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic...
Persistent link: https://www.econbiz.de/10012713380
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic...
Persistent link: https://www.econbiz.de/10012765867
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying latent variables is governed by a one factor GARCH process. The distinctive feature of such processes is that the long-term aggregate return distributions can substantially deviate from the asymptotic...
Persistent link: https://www.econbiz.de/10012765882
Digital default swaps are different from conventional (floating recovery) swaps because they transfer different types of risk. Conventional swaps transfer default loss risk, while digitals transfer default event risk. The implicit recovery risk remains unpriced in a hedged digital default swap....
Persistent link: https://www.econbiz.de/10012757213
This paper examines the risk aspects of an investment-based defined contribution Social Security plan. We focus on the risk after the plan is fully phased in. Individuals deposit a fraction of wages to a Personal Retirement Account (PRA), invest these funds in a 60:40 equity-debt mix, and in a...
Persistent link: https://www.econbiz.de/10010796395