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How has CDO market pricing changed during the turmoil? Evidence from CDS index tranches
Scheicher, Martin - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10011604956
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Relating top-down with bottom-up approaches in the evaluation of ABS with large collateral pools
Diener, Nicolas; Jarrow, Robert A.; Protter, Philip E. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-20
Persistent link: https://www.econbiz.de/10009624528
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A leverage ratio rule for capital adequacy
Jarrow, Robert A. - In: Journal of banking & finance 37 (2013) 3, pp. 973-976
Persistent link: https://www.econbiz.de/10009708725
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A critique of revised Basel II
Jarrow, Robert A. - In: Journal of financial services research : JFSR 32 (2007) 1/2, pp. 1-16
Persistent link: https://www.econbiz.de/10003576332
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Asset correlations and credit portfolio risk : an empirical analysis
Düllmann, Klaus (contributor);  … - 2007
In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare...
Persistent link: https://www.econbiz.de/10003546029
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How has CDO market pricing changed during the turmoil? : evidence from CDS index tranches
Scheicher, Martin (contributor) - 2008
This paper applies regression analysis to investigate the fundamental factors of the variation of CDS index tranches. The sample comprises daily data on the tranche premia of the European iTraxx and North American CDX index from the start of the market in summer 2004 to January 2008. I estimate...
Persistent link: https://www.econbiz.de/10003782657
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Synthetic CDO equity : short or long correlation risk?
Jarrow, Robert A.; Deventer, Donald R. van - In: The journal of fixed income 17 (2007) 4, pp. 31-41
Persistent link: https://www.econbiz.de/10003729808
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Futures contract collateralization and its implications
Jarrow, Robert A.; Kwok, Simon Sai Man - In: Journal of empirical finance 74 (2023), pp. 1-25
Persistent link: https://www.econbiz.de/10014477096
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A Value at Risk Analysis of Credit Default Swaps
Raunig, Burkhard - 2016
letzten Jahren den Handel mit Kreditrisiko signifikant vereinfacht. Ein standardisiertes Kontrakt-Design, niedrige … mit hohem Kreditrisiko deutlich geringer. Die Distanz sinkt auch bei längeren Haltedauern. Wir beobachten weiter eine …
Persistent link: https://www.econbiz.de/10012989272
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Asset Correlations and Credit Portfolio Risk : An Empirical Analysis
Duellmann, Klaus - 2016
In credit risk modelling, the correlation of unobservable asset returns is a crucial component for the measurement of portfolio risk. In this paper, we estimate asset correlations from monthly time series of Moody's KMV asset values for around 2,000 European firms from 1996 to 2004. We compare...
Persistent link: https://www.econbiz.de/10012989288