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.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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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.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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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.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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