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Pricing credit default swaps with bilateral value adjustments
Pricing credit default swaps bilateral value adjustments
2012/9/14
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 structural approach to pricing credit default swaps with credit and debt value adjustments
structural approach credit default credit and debt value adjustments
2012/9/14
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...
Collateralized CVA Valuation with Rating Triggers and Credit Migrations
counterparty risk credit valuation adjustment CVA OTC contracts break clauses additional termination events
2012/6/5
In this paper we discuss the issue of computation of the bilateral credit valuation adjustment (CVA) under rating triggers, and in presence of ratings-linked margin agreements. Specifically, we consid...
Bilateral Credit Valuation Adjustment of an Optional Early Termination Clause
Counterparty risk Credit Valuation Adjustment Unilateral CVA Bilateral CVA Debit Valuation Adjustment Closeout ISDA
2012/6/4
Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In cas...
Credit Default Swaps Drawup Networks: Too Tied To Be Stable?
Credit Default Swaps Drawup Networks Risk Management
2012/6/2
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 ...
Transmission of distress in a bank credit network
Transmission of distress bank credit network General Finance
2012/4/28
The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. ...
On Pricing Basket Credit Default Swaps
Basket Credit Default Swaps Interacting Intensity Ordered Default Time Distribution Analytic Pricing Formula
2012/4/28
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...
On break-even correlation: the way to price structured credit derivatives by replication
CDO replication Gaussian Copula structural models
2012/4/28
We consider the pricing of European-style structured credit payoff in a static framework, where the underlying default times are independent given a common factor. A practical application would consis...
The Communist Party and Financial Institutions: Institutional Design of China's Post-Reform Rural Credit Cooperatives
the rural credit cooperatives formal credit providers rural China empirical evidence persistence
2011/9/28
Although the rural credit cooperatives are the only formal credit providers to millions of households in rural China, empirical evidence suggests that they do not serve the interests of member househo...
Presents statistics from the United States Department of Commerce on financial markets as of January 2004. Money stock and debt measures; Components of money stock; Aggregate reserves and monetary bas...
Monetary Policy and Asset Prices with Imperfect Credit Markets
Modigliani-Miller theorem corporate finance capital market external financing
2011/9/13
Provides information on the utilization of the Modigliani-Miller theorem in corporate finance and capital market. Effect of monetary authority regulation on asset prices; Relation of the volume of col...
Real Estate Bubbles and the Economic Crises: The Role of Credit Standards and the Impact of Tax
the institute of revenues rating valuation property tax
2011/9/11
This paper was presented at the 12th International Conference, Land Value Capture in Urban Development: Role of Property Tax in Local Finance, held in Warsaw, Poland, June 23 and 24, 2009. The confere...
Bank Credit Cycles
potential borrowers the bank’s credit lending standards priced risk factor an autonomous source macroeconomic fluctuations
2011/9/2
A bank determines whether potential borrowers are creditworthy, that is, whether they meet the bank’s credit or lending standards. In making this determination, each bank is in competition with other ...
Giving Credit where it's Due: Promoting Financial Inclusion through Quality Credit Unions
Financial Inclusion Task Fund tackle financial exclusion credit unions imaginatively and effectively
2011/9/2
Early in 2005, HM Treasury established a Financial Inclusion Task Fund to support initiatives to tackle financial exclusion. It envisages that a substantial proportion of this funding will be allocate...
Credit Derivatives and their Applicability to the Turkish Banking Sector
collateralised debt obligation credit default swap Credit derivatives credit linked note credit spread option
2011/9/2
Credit derivatives are financial contracts that offer protection against credit risk of bonds or loans. The most common forms of credit derivatives are credit default swaps, total return swaps, credit...