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Market implied volatilities for defaultable bonds

Russo, Vincenzo; Giacometti, Rosella; Fabozzi, Frank J. - 2019

Persistent link: https://www.econbiz.de/10012008749

Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules

Russo, Vincenzo; Lagasio, Valentina; Brogi, Marina; … - In: Annals of finance 16 (2020) 1, pp. 141-157

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The ICA-based factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - 2015

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Factor decomposition of the Eurozone sovereign CDS spreads

Fabozzi, Frank J.; Giacometti, Rosella; Tsuchida, Naoshi - In: Journal of international money and finance 65 (2016), pp. 1-23

Persistent link: https://www.econbiz.de/10011668394

Pricing of credit default index swap tranches with one-factor heavy-tailed copula models

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Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215