Related papers: Are all Credit Default Swap Databases equal?
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 intensity default contagion model. We give the…
A new concept of the available force is proposed to investigate the performance of the complex systems having long-range interactions. Since the covariance of average velocity in double time interval and available force equals zero, it is…
There are many studies on development of models for analyzing some derivatives such as credit default swaps .
Trust mechanisms diverge between centralized and decentralized exchanges, representing distinct sociotechnical governance paradigms. However, quantifying trust dynamics and their redistribution between these architectures remains…
Credit value adjustment (CVA) is the charge applied by financial institutions to the counterparty to cover the risk of losses on a counterpart default event. In this paper we estimate such a premium under the Bates stochastic model (Bates…
The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing, hedging and risk management, and, according to the TABB group, will lead to an overall liquidity impact about 2 USD…
We propose the sum and the difference of the normalized velocity of two-joint systems to describe its long-range interaction. It is found that the conditional probability distribution function (CPDF) of the normalized velocity between…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches…
We show that lenders face more uncertainty when assessing default risk of historically under-served groups in US credit markets and that this information disparity is a quantitatively important driver of inefficient and unequal credit…
Research managers benchmarking universities against international peers face the problem of affiliation disambiguation. Different databases have taken separate approaches to this problem and discrepancies exist between them. Bibliometric…
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty,…
A new initiative from the International Swaps and Derivatives Association (ISDA) aims to establish a "Common Domain Model" (ISDA CDM): a new standard for data and process representation across the full range of derivatives instruments.…
This paper investigates both short and long-run interaction between BIST-100 index and CDS prices over January 2008 to May 2015 using ARDL technique. The paper documents several findings. First, ARDL analysis shows that 1 TL increase in CDS…
The immense success of ML systems relies heavily on large-scale, high-quality data. The high demand for data has led to many paradigms that involve selling, exchanging, and sharing data, motivating the study of economic processes with data…
In this note we show how to replicate a stylized CDS with a repurchase agreement and an asset swap. The latter must be designed in such a way that, on default of the issuer, it is terminated with a zero close-out amount. This break clause…
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 consist of the pricing of nth-to-default…
With the move towards open research information, the DOI registration agency DataCite is increasingly used as a source for metadata describing research data, for example to perform scientometric analyses. However, there is a lack of…
Decentralised exchanges (DEXs) have transformed trading by enabling trustless, permissionless transactions, yet they face significant challenges such as impermanent loss and slippage, which undermine profitability for liquidity providers…
An uncollateralized swap hedged back-to-back by a CCP swap is used to introduce FVA. The open IR01 of FVA, however, is a sure sign of risk not being fully hedged, a theoretical no-arbitrage pricing concern, and a bait to lure market risk…