Explaining credit default swap premia

Article Abstract:

The effects of historical and option-implied equity volatility on credit default swap premia, extending an idea proposed by Campbell and Taksler (in press) in the context of corporate bond yields, are investigated.

Financial instruments

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Copula sensitivity in collateralized debt obligations and basket default swaps

Article Abstract:

The explicit pricing of collateralized debt obligations and basket default swaps is considered. These credit derivatives are then empirically examined within the copula framework.

Basket trading (Securities), Functions (Mathematics), Functional equations, Collateralized debt obligations, Functions

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Improved estimation of portfolio value-at-risk under copula models with mixed marginals

Article Abstract:

Key features of portfolio value-at-risk estimation method with relation to copula models are examined.

Colombia, Asset & Risk Management, Usage, Risk management, Gaussian processes, Financial risk

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