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Portfolio diversification in the sovereign credit swap markets
Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016
Persistent link: https://www.econbiz.de/10011539351
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The financial economics of sovereign asset value : functional perspectives and market outcomes ; conference paper
Posch, Peter N.; Bowden, Roger J.; Kalteier, Eva-Maria - 2014
The asset value of government has traditionally been seen as the accounting value of public assets. We develop a detailed financial economics view on sovereign asset values using market measures to arrive at implied sovereign asset values. We establish definition and dependencies within the...
Persistent link: https://www.econbiz.de/10010486036
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Mutual Fund Holdings of Credit Default Swaps : Liquidity, Yield, and Risk
Jiang, Wei - 2020
This study analyzes the motives for and consequences of funds' credit default swap (CDS) investments using mutual funds …
Persistent link: https://www.econbiz.de/10012856375
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Optimal Credit Swap Portfolios
Giesecke, Kay - 2018
, initial capital, position limits, and other trading constraints that credit swap investors often face in practice. The multi … portfolios. In particular, we find that credit swap investment constraints can have a significant impact on optimal portfolios …
Persistent link: https://www.econbiz.de/10012940733
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Mutual Fund Holdings of Credit Default Swaps : Liquidity Management and Risk Taking
Zhu, Zhongyan - 2016
Using a comprehensive dataset of mutual funds' quarterly holdings of credit default swap (CDS) contracts during 2007 …
Persistent link: https://www.econbiz.de/10012998315
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Credit volatility indexes
Mele, Antonio; Obayashi, Yoshiki - 2020 - This version: October 19, 2020
Persistent link: https://www.econbiz.de/10012419450
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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Statistical Modeling of Credit Default Swap Portfolios
Cont, Rama - 2011
We undertake a systematic study of the univariate and multivariate properties of CDS spreads using the CDS spread time series of CDX Investment Grade index constituents from 2005 to 2009. We find that CDS spread returns appear to be stationary and exhibit positive autocorrelations,...
Persistent link: https://www.econbiz.de/10013129079
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The two defaults scenario for stressing credit portfolio loss distributions
Tasche, Dirk - In: Journal of risk and financial management : JRFM 9 (2016) 1, pp. 1-18
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions conditional on default events by means of Monte Carlo...
Persistent link: https://www.econbiz.de/10011544020
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Model and estimation risk in credit risk stress tests
Grundke, Peter; Pliszka, Kamil; Tuchscherer, Michael - 2019
This paper deals with stress tests for credit risk and shows how exploiting the discretion when setting up and implementing a model can drive the results of a quantitative stress test for default probabilities. For this purpose, we employ several variations of a CreditPortfolioView-style model...
Persistent link: https://www.econbiz.de/10011981523