Relevant bibliographies by topics / Risk Credit Swaps (Finance)

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Academic literature on the topic 'Risk Credit Swaps (Finance)'

Author: Grafiati
Published: 4 June 2021
Last updated: 1 February 2022

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Journal articles on the topic "Risk Credit Swaps (Finance)"

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BRIGO, DAMIANO, NICOLA PEDE, and ANDREA PETRELLI. "MULTI-CURRENCY CREDIT DEFAULT SWAPS." International Journal of Theoretical and Applied Finance 22, no. 04 (2019): 1950018. http://dx.doi.org/10.1142/s0219024919500183.

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Credit default swaps (CDS) on a reference entity may be traded in multiple currencies, in that, protection upon default may be offered either in the currency where the entity resides, or in a more liquid and global foreign currency. In this situation, currency fluctuations clearly introduce a source of risk on CDS spreads. For emerging markets, but in some cases even in well-developed markets, the risk of dramatic foreign exchange (FX)-rate devaluation in conjunction with default events is relevant. We address this issue by proposing and implementing a model that considers the risk of foreign
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BRIGO, DAMIANO, AGOSTINO CAPPONI, ANDREA PALLAVICINI, and VASILEIOS PAPATHEODOROU. "PRICING COUNTERPARTY RISK INCLUDING COLLATERALIZATION, NETTING RULES, RE-HYPOTHECATION AND WRONG-WAY RISK." International Journal of Theoretical and Applied Finance 16, no. 02 (2013): 1350007. http://dx.doi.org/10.1142/s0219024913500076.

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This article is concerned with the arbitrage-free valuation of bilateral counterparty risk through stochastic dynamical models when collateral is included, with possible rehypothecation. The payout of claims is modified to account for collateral margining in agreement with International Swap and Derivatives Association (ISDA) documentation. The analysis is specialized to interest-rate and credit derivatives. In particular, credit default swaps are considered to show that a perfect collateralization cannot be achieved under default correlation. Interest rate and credit spread volatilities are f
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Coppes, Robert Christophor. "Credit Risk Exposure with Currency Swaps." European Financial Management 3, no. 1 (1997): 85–97. http://dx.doi.org/10.1111/1468-036x.00032.

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Giberti, Daniela, Marcello Mentini, and Pietro Scabellone. "The Valuation of Credit Risk in Swaps." Journal of Fixed Income 2, no. 4 (1993): 24–36. http://dx.doi.org/10.3905/jfi.1993.408067.

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MAI, JAN-FREDERIK. "PRICING-HEDGING DUALITY FOR CREDIT DEFAULT SWAPS AND THE NEGATIVE BASIS ARBITRAGE." International Journal of Theoretical and Applied Finance 22, no. 06 (2019): 1950032. http://dx.doi.org/10.1142/s0219024919500328.

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Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to replicate the risk-free bank account until a credit event by a static portfolio of a bond and infinitely many credit default swap (CDS) contracts. This static portfolio can be viewed as the solution of a credit risk hedging problem whose dual problem is to price the bond consistently with observed CDSs. This duality is maintained when the risk-free rate is shifted parallel. In practice, there is a unique parallel shift [Formula: see text] that is consistent with observed market prices for bond and CDSs. Th
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Ratner, Mitchell, and Chih-Chieh (Jason) Chiu. "Hedging stock sector risk with credit default swaps." International Review of Financial Analysis 30 (December 2013): 18–25. http://dx.doi.org/10.1016/j.irfa.2013.05.001.

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Gubareva, Mariya, and Maria Rosa Borges. "Interest rate, liquidity, and sovereign risk: derivative-based VaR." Journal of Risk Finance 18, no. 4 (2017): 443–65. http://dx.doi.org/10.1108/jrf-01-2017-0018.

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Purpose The purpose of this paper is to study connections between interest rate risk and credit risk and investigate the inter-risk diversification benefit due to the joint consideration of these risks in the banking book containing sovereign debt. Design/methodology/approach The paper develops the historical derivative-based value at risk (VaR) for assessing the downside risk of a sovereign debt portfolio through the integrated treatment of interest rate and credit risks. The credit default swaps spreads and the fixed-leg rates of interest rate swap are used as proxies for credit risk and int
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Jarrow, Robert A., and Yildiray Yildirim. "Valuing Default Swaps Under Market and Credit Risk Correlation." Journal of Fixed Income 11, no. 4 (2002): 7–19. http://dx.doi.org/10.3905/jfi.2002.319308.

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NG, LESLIE. "NUMERICAL PROCEDURES FOR A WRONG WAY RISK MODEL WITH LOGNORMAL HAZARD RATES AND GAUSSIAN INTEREST RATES." International Journal of Theoretical and Applied Finance 16, no. 08 (2013): 1350049. http://dx.doi.org/10.1142/s0219024913500490.

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In this work, we present some numerical procedures for a wrong way risk model that can be used for credit value adjustment (CVA) calculations. We look at a model that uses a multi-factor Hull–White model for interest rates and a single-factor lognormal Black–Karasinski default intensity model for counterparty credit, where the default intensity driver is correlated with all interest rate drivers. We describe how a trinomial tree-based approach for implementing single factor short rate models by Hull and White (1994) can be modified and used to calibrate the intensity model to credit default sw
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CRÉPEY, STÉPHANE, RÉMI GERBOUD, ZORANA GRBAC, and NATHALIE NGOR. "COUNTERPARTY RISK AND FUNDING: THE FOUR WINGS OF THE TVA." International Journal of Theoretical and Applied Finance 16, no. 02 (2013): 1350006. http://dx.doi.org/10.1142/s0219024913500064.

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The credit crisis and the ongoing European sovereign debt crisis have highlighted the native form of credit risk, namely the counterparty risk. The related credit valuation adjustment (CVA), debt valuation adjustment (DVA), liquidity valuation adjustment (LVA) and replacement cost (RC) issues, jointly referred to in this paper as total valuation adjustment (TVA), have been thoroughly investigated in the theoretical papers [8, 9]. The present work provides an executive summary and numerical companion to these papers, through which the TVA pricing problem can be reduced to Markovian pre-default
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Dissertations / Theses on the topic "Risk Credit Swaps (Finance)"

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Qi, Ziqiong. "Credit risk under normal and extreme condition : empirical investigation on European CDS spread changes." Thesis, Rennes 1, 2014. http://www.theses.fr/2014REN1G025/document.

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Cette thèse de doctorat s’articule en trois chapitres. Le premier chapitre s’attache à trouver les déterminants principaux des variations hebdomadaires des marges de CDS, en période normale. Le deuxième chapitre se concentre, quant à lui, sur le comportement des marges de CDS dans les situations extrêmes. Nous exploitons dans ce chapitre les outils couramment employés dans l’analyse du risque systémique (CoVaR et régression quantile). Le troisième et dernier chapitre s’intéresse à l'impact des modifications de notations émises par les agences de rating (sur les marges de CDS). Nous procédons i
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Al-Own, Bassam. "CEO stock-option compensation and the use of credit default swaps in relation to European bank risk." Thesis, Edinburgh Napier University, 2015. http://researchrepository.napier.ac.uk/Output/8800.

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This thesis investigates two main aspects related to the use of credit default swaps (CDS) by European banks. The first area of investigation focuses on the relationship between the CEOs' risk-taking incentives generated by stock option compensation and the usage of CDS by banks. This thesis contributes to the existing literature in risk management with derivatives, which initially assumes that the use of derivatives is intended to reduce firm risk, by distinguishing between CDS use for hedging purposes and CDS use for trading purposes. The relationship between CEOs' risk-taking incentives and
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Isiugo, Uche C. "Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk." ScholarWorks@UNO, 2016. http://scholarworks.uno.edu/td/2221.

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This dissertation comprises two essays; the first of which investigates sovereign credit risk interdependencies, while the second examines the reaction of corporate credit risk to sovereign credit risk events. The first essay titled, Characterizing Sovereign Credit Risk Interdependencies: Evidence from the Credit Default Swap Market, investigates the relationships that exist among disparate sovereign credit default swaps (CDS) and the implications on sovereign creditworthiness. We exploit emerging market sovereign CDS spreads to examine the reaction of sovereign credit risk to changes in count
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Sauter, Dawn Adell. "Estimating swap credit risk : significance of the volatility input using Monte-Carlo simulation /." Thesis, This resource online, 1993. http://scholar.lib.vt.edu/theses/available/etd-12052009-020238/.

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Wu, Weiou. "Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil." Thesis, University of St Andrews, 2013. http://hdl.handle.net/10023/4048.

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This thesis investigates correlations and linkages in credit risk that widely exist in all sectors of the financial markets. The main body of this thesis is constructed around four empirical chapters. I started with extending two main issues focused by earlier empirical studies on credit derivatives markets: the determinants of CDS spreads and the relationship between CDS spreads and bond yield spreads, with a special focus on the effect of the subprime crisis. By having observed that the linear relationship can not fully explain the variation in CDS spreads, the third empirical chapter invest
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Benbouzid, Nadia. "Credit risk in the banking sector : international evidence on CDS spread determinants before and during the recent crisis." Thesis, Queen Mary, University of London, 2015. http://qmro.qmul.ac.uk/xmlui/handle/123456789/8912.

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Credit Default Swaps (CDS) instruments - as an indicator of credit risk - were one of the most prominent innovations in financial engineering. Very limited literature existed on the drivers of CDS spreads before the financial crisis due to the opacity of this market and its lack of transparency. First, this thesis investigates the drivers of CDS spread in the UK banking sector, by considering the role of the housing market, over the period of 2004-2011. I find that, in the long-run, house price dynamics were the main factor contributing to wider CDS spreads. In addition, I show that a rise in
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Bernstein, Elan M. "The Impact of Credit Default Swap Introduction on Firm Systematic Risk." Scholarship @ Claremont, 2015. http://scholarship.claremont.edu/cmc_theses/1063.

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This paper empirically explores how the introduction of Credit Default Swap (CDS) trading affects firm systematic risk. By treating the introduction as an event study and imploring propensity score matching and difference-in-differences analysis, this research finds that firm exposure to market risk increases after the introduction of CDS instruments, controlling for higher debt levels. These findings change, however, in times of financial crisis when the impact of CDS trading actually reduces systematic risk. These results show that CDS introduction enables a firm to more dramatically change
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Wang, Tingwei. "Three Essays on Sovereign Credit Risk." Thesis, Paris Sciences et Lettres (ComUE), 2016. http://www.theses.fr/2016PSLED010.

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Cette thèse étudie le risque de crédit souverain et son impact sur les banques et les entreprises. Le premier essai montre que le risque de crédit bancaire est lié au risque de crédit souverain via l’exposition commune au risque systémique au lieu du sauvetage implicite ou de l’exposition excessive aux obligations émises par le pays d’origine. Dans le deuxième essai, je construis un modèle de structure du capital qui prédit une corrélation négative entre le niveau d’endettement des grands entreprises et le risque de crédit souverain à cause du sauvetage implicite. Cette prédiction est confirmé
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Anderson, Mike. "Contagion in Credit Default Swap Premiums and Spillover Effects from Bond Liquidity to Stock Returns." The Ohio State University, 2012. http://rave.ohiolink.edu/etdc/view?acc_num=osu1334406908.

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Doran, Zachary. "Pricing Political Risk in Latin America: A Look inside Presidential Elections, Sovereign Credit Default Swaps and Equity Prices in Argentina, Brazil, Chile and Mexico." Scholarship @ Claremont, 2013. http://scholarship.claremont.edu/cmc_theses/627.

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This paper explores the relationship between presidential elections and sovereign credit default swap (CDS) returns, as well as, equity returns in the Latin American countries, Argentina, Brazil, Chile and Mexico. In particular, this paper tests whether or not presidential elections, which potentially represent political uncertainty and risk, affect sovereign CDS returns. I also analyze stock returns during the elections of each country to establish benchmarks that I compare to the CDS returns. Specifically, I evaluate the movement of CDS and equity adjusted returns (i.e. returns measured as d
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Books on the topic "Risk Credit Swaps (Finance)"

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Liu, Jun. The market price of credit risk: An empirical analysis of interest rate swap spreads. National Bureau of Economic Research, 2002.

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CDS delivery option: Better pricing of credit default swaps. Bloomberg Press, 2009.

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Andritzky, Jochen R. The pricing of credit default swaps during distress. International Monetary Fund, Monetary and Capital Markets Dept., 2006.

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Reporting interest rate swaps: The association of disclosure quality with credit risk and ownership structure. Garland Pub., 1994.

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Chan-Lau, Jorge A. Anticipating credit events using credit default swaps, with an application to sovereign debt crises. International Monetary Fund, International Capital Markets Department, 2003.

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Insurance, New York (State) Legislature Assembly Standing Committee on. Public hearing New York's regulation of the credit default swap market. En-De Reporting Services, 2008.

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Longstaff, Francis A. Corporate yield spreads: Default risk or liquidity? New evidence from the credit-default swap market. National Bureau of Economic Research, 2004.

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1952-, Marshall John F., ed. The swaps handbook: Swaps and related risk management instruments. New York Institute of Finance, 1990.

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Daugaard, Daniel. The swaps handbook. Financial Training and Analysis Services, 1991.

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Daugaard, Daniel. The swaps handbook. Financial Training and Analysis Services, 1991.

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Book chapters on the topic "Risk Credit Swaps (Finance)"

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Jones, Stephen A. "Credit Risk." In Trade and Receivables Finance. Springer International Publishing, 2018. http://dx.doi.org/10.1007/978-3-319-95735-7_6.

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Blanchet-Scalliet, Christophette, and Frédéric Patras. "Structural Counterparty Risk Valuation for Credit Default Swaps." In Credit Risk Frontiers. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531839.ch13.

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Brigo, Damiano, Mirela Predescu, and Agostino Capponi. "Liquidity Modeling for Credit Default Swaps: An Overview." In Credit Risk Frontiers. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531839.ch19.

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Ammann, Manuel. "Credit Risk Models." In Springer Finance. Springer Berlin Heidelberg, 2001. http://dx.doi.org/10.1007/978-3-662-06425-2_3.

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Rutkowski, Marek. "Options on Credit Default Swaps and Credit Default Indexes." In Credit Risk Frontiers. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118531839.ch8.

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Banks, Erik. "Swaps and Swap Derivatives." In The Credit Risk of Financial Instruments. Palgrave Macmillan UK, 1993. http://dx.doi.org/10.1007/978-1-349-13247-8_13.

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Cernauskas, Deborah. "Credit Risk." In Essentials of Risk Management in Finance. John Wiley & Sons, Inc., 2012. http://dx.doi.org/10.1002/9781118387016.ch13.

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Kluge, Daniel, and Frank Lehrbass. "Default Probabilities in Structured Commodity Finance." In Credit Risk. Physica-Verlag HD, 2003. http://dx.doi.org/10.1007/978-3-642-59365-9_7.

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Banks, Erik. "The Credit Risk of Complex Swaps." In The Credit Risk of Complex Derivatives. Palgrave Macmillan UK, 2004. http://dx.doi.org/10.1057/9781403946096_10.

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Banks, Erik. "The Credit Risk of Complex Swaps." In The Credit Risk of Complex Derivatives. Palgrave Macmillan UK, 1997. http://dx.doi.org/10.1007/978-1-349-14484-6_7.

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Conference papers on the topic "Risk Credit Swaps (Finance)"

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Atrissi, Nizar, and Maya Akoum. "CREDIT DEFAULT SWAPS AND THE ARAB UPRISING." In Annual International Conferences on Accounting and Finance. Global Science & Technology Forum (GSTF), 2012. http://dx.doi.org/10.5176/2251-1997_af98.

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Shear, Falik, Hilal Anwar Butt, and Imtiaz Badshah. "AN ANALYSIS OF THE RELATIONSHIP BETWEEN THE SOVEREIGN CREDIT DEFAULT SWAPS AND THE STOCK MARKET OF PAKISTAN THROUGH HANDLING OUTLIERS." In 8th Economics & Finance Conference, London. International Institute of Social and Economic Sciences, 2017. http://dx.doi.org/10.20472/efc.2017.008.010.

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Cech, C. "An empirical investigation of the short-term relationship between interest rate risk and credit risk." In COMPUTATIONAL FINANCE 2008. WIT Press, 2008. http://dx.doi.org/10.2495/cf080181.

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Xu, Ruxing, and Shenghong Li. "A Tree Model for Pricing Credit Default Swaps with Equity, Market and Default Risk." In 2009 International Conference on Management and Service Science (MASS). IEEE, 2009. http://dx.doi.org/10.1109/icmss.2009.5301932.

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Albanese, Claudio. "Coherent global market simulations for counterparty credit risk." In 2010 Workshop on High Performance Computational Finance at SC10 (WHPCF). IEEE, 2010. http://dx.doi.org/10.1109/whpcf.2010.5671842.

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Jian, Ruan, and Cai Minrong. "Credit Risk Assessment of Finance-transportation and Warehouse Financing Model." In 2021 International Conference on Economic Development and Business Culture (ICEDBC 2021). Atlantis Press, 2021. http://dx.doi.org/10.2991/aebmr.k.210712.052.

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Bielecki, Tomasz R., Areski Cousin, Stéphane Crépey, and Alexander Herbertsson. "A Bottom-Up Dynamic Model of Portfolio Credit Risk. Part I: Markov Copula Perspective." In International Workshop on Finance 2012. WORLD SCIENTIFIC, 2014. http://dx.doi.org/10.1142/9789814571647_0002.

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Gila-Gourgoura, Esida, and Eftychia Nikolaidou. "CREDIT RISK DETERMINANTS IN THE VULNERABLE ECONOMIES OF EUROPE: EVIDENCE FROM THE ITALIAN BANKING SYSTEM." In 10th Economics & Finance Conference, Rome. International Institute of Social and Economic Sciences, 2018. http://dx.doi.org/10.20472/efc.2018.010.009.

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S., Dr Sangeetha. "Analyzing the Credit Risk of Micro Finance Institutions – A Qualitative Approach." In International Conference On Contemporary Researches in Engineering, Science, Management & Arts, 2020. Bonfring, 2020. http://dx.doi.org/10.9756/bp2020.1002/31.

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Pan, Yongming, and Qian Wang. "Credit Risk Assessment of Logistics Finance Based on Grey System Theory." In International Conference of Logistics Engineering and Management (ICLEM) 2010. American Society of Civil Engineers, 2010. http://dx.doi.org/10.1061/41139(387)575.

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Reports on the topic "Risk Credit Swaps (Finance)"

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Fabiani, Andrea, Martha López, José-Luis Peydró, Paul E. Soto, and Margaret Guerrero. Capital Controls, Domestic Macroprudential Policy and the Bank Lending Channel of Monetary Policy. Banco de la República, 2021. http://dx.doi.org/10.32468/be.1162.

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We study how capital controls and domestic macroprudential policy tame credit supply booms, respectively targeting foreign and domestic bank debt. For identification, we exploit the simultaneous introduction of capital controls on foreign exchange (FX) debt inflows and an increase of reserve requirements on domestic bank deposits in Colombia during a strong credit boom, as well as credit registry and bank balance sheet data. Our results suggest that first, an increase in the local monetary policy rate, raising the interest rate spread with the United States, allows more FX-indebted banks to ca
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