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A non-parametric and entropy based analysis of the relationship between the VIX and S&P 500

Allen, David E.; McAleer, Michael; Powell, Robert; … - In: Journal of risk and financial management : JRFM 6 (2013) 1, pp. 6-30

impact of the Global Financial Crisis. We apply a series of non-parametric based tests utilizing entropy based metrics. These … suggest that the PDFs and CDFs of these two return distributions change shape in various subsample periods. The entropy and MI … relative maximum in the most recent period from 2011 to 2012. The entropy based non-parametric tests of the equivalence of the …

Persistent link: https://www.econbiz.de/10011555743

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

Dependence properties of dynamic credit risk models

Bäuerle, Nicole; Schmock, Uwe - In: Statistics & Risk Modeling 29 (2012) 3, pp. 243-268

Abstract We give a unified mathematical framework for reduced-form models for portfolio credit risk and identify properties which lead to positive dependence of default times. Dependence in the default hazard rates is modeled by common macroeconomic factors as well as by inter-obligor links. It...

Persistent link: https://www.econbiz.de/10014622219

What makes dependence modeling challenging? Pitfalls and ways to circumvent them

Mai, Jan-Frederik; Scherer, Matthias - In: Statistics & Risk Modeling 30 (2013) 4, pp. 287-306

Abstract We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a special focus on financial applications. Our aim is to draw the readers' attention to common (and not so common) pitfalls and fallacies, and we particularly address...

Persistent link: https://www.econbiz.de/10014622241

What makes dependence modeling challenging? Pitfalls and ways to circumvent them

Jan-Frederik, Mai; Matthias, Scherer - In: Statistics & Risk Modeling 30 (2013) 4, pp. 287-306

We present a list of challenges one faces when given the task of modeling dependence between stochastic objects, with a special focus on financial applications. Our aim is to draw the readers' attention to common (and not so common) pitfalls and fallacies, and we particularly address readers...

Persistent link: https://www.econbiz.de/10011015734

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

Zhu, Haibin; Tarashev, Nikola A. - Deutsche Bundesbank - 2008

Persistent link: https://www.econbiz.de/10005082786

Portfolio credit risk of default and spread widening

Zhao, Hongbiao - London School of Economics (LSE) - 2011

consistent framework. Credit spreads are modelled by geometric Brownian motions with a dependence structure powered by a t-copula …

Persistent link: https://www.econbiz.de/10010745286

Copula dynamics in CDOs

Choros-Tomczyk, Barbara; Härdle, Wolfgang Karl; … - 2012

global financial crisis. We investigate the evolution of the correlations using different copula models: the standard … Gaussian, the NIG, the double-t, and the Gumbel copula model. After calibration of these models one obtains a time varying …

Persistent link: https://www.econbiz.de/10010318769

Asymmetric dependence in house prices : evidence from USA and international data

Zimmer, David M. - In: Empirical economics : a journal of the Institute for … 49 (2015) 1, pp. 161-183

Persistent link: https://www.econbiz.de/10011325608

Mixed copula model with stochastic correlation for CDO pricing

Chen, Jianli; Liu, Zhen; Li, Shenghong - In: Economic modelling 40 (2014), pp. 167-174

Persistent link: https://www.econbiz.de/10010425701

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