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Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

Persistent link: https://www.econbiz.de/10010301707

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10010301718

Systematic risk of CDOs and CDO arbitrage

Hamerle, Alfred; Liebig, Thilo; Schropp, Hans-Jochen - 2009

"virtual" borrower or bond for which a single-factor model holds. Then, the correlation parameter is calculated via a non …-linear optimization. This "bond representation" allows to approximate the risk profile (expressed by the EL profile) using a single … for the corresponding bond representations is applied for valuation of the CDO tranches. Using a sample CDO portfolio …

Persistent link: https://www.econbiz.de/10010299482

Stages of the 2007/2008 Global Financial Crisis Is There a Wandering Asset-Price Bubble?

Orlowski, Lucjan T. - 2008

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market; spillovers into broader credit market; the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns and Lehman Brothers with counterparty risk...

Persistent link: https://www.econbiz.de/10010298579

Stages of the ongoing global financial crisis: Is there a wandering asset-price bubble?

Orlowski, Lucjan T. - 2008

This study identifies five distinctive stages of the current global financial crisis: the meltdown of the subprime mortgage market, spillovers into broader credit market, the liquidity crisis epitomized by the fallout of Northern Rock, Bear Stearns with contagion effects on other financial...

Persistent link: https://www.econbiz.de/10011430817

Are corporate bond defaults contagious across sectors?

Ellis, Colin - In: International Journal of Financial Studies 8 (2020) 1, pp. 1-17

Corporate bond defaults in different sectors often increase suddenly at roughly similar times, although some sectors …

Persistent link: https://www.econbiz.de/10013200249

Measuring financial fragmentation in the euro area corporate bond market

Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - In: Journal of Risk and Financial Management 11 (2018) 4, pp. 1-19

This paper analyses the determinants of euro area non-financial corporate bonds since the early 2000s, so as to gauge deviations from the law of one price. We decompose the spread between the yield of German, French, Italian and Spanish corporate bonds vis-à-vis the German Bund of similar...

Persistent link: https://www.econbiz.de/10012611056

The value of bond underwriter relationships

von Rüden, Stine Louise; Dick-Nielsen, Jens; Stenbo … - 2021

We show that corporate bond issuers benefit from utilizing existing underwriter relationships when rolling over bonds …

Persistent link: https://www.econbiz.de/10012659979

Updating the Option Implied Probability of Default Methodology

Vilsmeier, Johannes - 2011

In this paper we 'update' the option implied probability of default (option iPoD) approach recently suggested in the literature. First, a numerically more stable objective function for the estimation of the risk neutral density is derived whose integrals can be solved analytically. Second, it is...

Persistent link: https://www.econbiz.de/10010294741

Hidden liquidity: Determinants and impact

Cebiroğlu, Gökhan; Horst, Ulrich - 2012

We cross-sectionally analyze the presence of aggregated hidden depth and trade volume in the S&P 500 and identify its key determinants. We find that the spread is the main predictor for a stock's hidden dimension, both in terms of traded and posted liquidity. Our findings moreover suggest that...

Persistent link: https://www.econbiz.de/10010281537