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McAleer, Michael; Chan, Felix; Oxley, Les - 2013

underwriters and issuing firms in the Japanese corporate bond market, stochastic life table forecasting: a time-simultaneous fan …

Persistent link: https://www.econbiz.de/10010326266

The term structure of risk premia: new evidence from the financial crisis

Berg, Tobias - 2010

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

Persistent link: https://www.econbiz.de/10011605211

Risikomanagement mit Kreditoptionen

Broll, Udo; Welzel, Peter - 2002

In diesem Beitrag wird die Einsatzmöglichkeit eines Kreditderivats vom Typ einer Kreditoption für eine Bank untersucht. Das Management des Kreditrisikos erfährt in jüngerer Zeit besondere Aufmerksamkeit. Gestiegenen Kreditausfallrisiken begegnen Kreditinstitute mehr und mehr durch die...

Persistent link: https://www.econbiz.de/10010291701

Common factors in credit defaults swaps markets

Chen, Yi-hsuan; Härdle, Wolfgang Karl - 2012

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

Persistent link: https://www.econbiz.de/10010318764

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

Dötz, Niko - 2007

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

Persistent link: https://www.econbiz.de/10010295927

Forecasting with artificial network models

Rech, Gianluigi - 2002

This paper contains a forecasting exercise on 30 time series, ranging on several fields, from economy to ecology. The …

Persistent link: https://www.econbiz.de/10010281250

Local-global neural networks: a new approach for nonlinear time series modelling

Fariñas, Mayte Suarez; Pedreira, Carloe E.; Medeiros, … - 2003

In this paper, the Local Global Neural Networks model is proposed within the context of time series models. This formulation encompasses some already existing nonlinear models and also admits the Mixture of Experts approach. We place emphasis on the linear expert case and extensively discuss the...

Persistent link: https://www.econbiz.de/10011807298

A test for serial dependence using neural networks

Kapetanios, George - 2007

Testing serial dependence is central to much of time series econometrics. A number of tests that have been developed and used to explore the dependence properties of various processes. This paper builds on recent work on nonparametric tests of independence. We consider a fact that characterises...

Persistent link: https://www.econbiz.de/10010284152

The pricing of correlated default risk: evidence from the credit derivatives market

Zhu, Haibin; Tarashev, Nikola A. - 2008

In order to analyze the pricing of portfolio credit risk – as revealed by tranche spreads of a popular credit default swap (CDS) index – we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall...

Persistent link: https://www.econbiz.de/10010295946

Feature extraction with hybrid neural networks

Wegmann, Georg - 2000

Neural networks (NN) and fuzzy logic systems (FLS) are used successfully for financial forecasting, credit rating and … optimizer. The mathematical motivation for such hybrid networks is presented, using the Kolmogorov theory of metric entropy. As … options written on the S&P 500 stock index. While option pricing theory typically requires a highly complex statistical model …

Persistent link: https://www.econbiz.de/10010301758