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搜索结果: 1-9 共查到理论经济学 Credit Default Swaps相关记录9条 . 查询时间(0.062 秒)
A three-dimensional extension of the structural default model with rms' values driven by correlated di usion processes is presented. Green's function based semi-analytical methods for solving the for...
A multi-dimensional extension of the structural default model with rms' values driven by di usion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods fo...
We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns ...
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensi...
Using daily data of four currencies (Japanese Yen (JPY), Euro (EUR), British Pound (GBP) and Australian Dollar (AUD)) in terms of the US Dollar (USD), and JPY, USD, GBP and AUD in terms of the EUR fro...
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999), finding support for the parity relation as an equilibrium condition. We also find t...
This paper studies the valuation of a class of credit default swaps (CDSs) with the embedded option to switch to a different premium and notional principal anytime prior to a credit event. These are e...
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial inn...

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