Credit derivatives

In this study, we delve into the correlation between the issuance of Green, Social, and Sustainability (GSS) bonds and the economic growth trajectories of countries within the Latin American and Caribbean (LAC) region. By analyzing variables such as the “Green Bond Issuance to Total Bond Issuance” ratio and the “Planned Sovereign Green Issuance”, coupled with several pertinent economic and governance indicators, insights were derived using multiple linear regression techniques.

14p leminhvu111 07-06-2024 0 0   Download

Continued part 1, part 2 of ebook "Introduction to derivative financial instruments: Options, futures, forwards, swaps, and hedging" provides readers with contents including: options; risk control for options; futures, forwards, and swaps; the pricing of options; credit risk and market risk with options; interest rate risk management through derivatives;...

218p tuongnhuoclan 27-11-2023 12 5   Download

Part 1 of ebook "The risk modeling evaluation handbook: Rethinking financial risk management methodologies in the global capital markets" provides readers with contents including: introduction to model risk; model risk related to equity and fixed income investments; model risk related to credit and credit derivatives investments;...

275p tuongnhuoclan 27-11-2023 9 5   Download

Ebook "Frontiers in quantitative finance: Volatility and credit risk modeling" is a selection of recent presentations in the Petit D'euner de la Finance. In this book, leading quants and academic researchers cover the most important emerging issues in quantitative finance and focus on portfolio credit risk and volatility modeling.

320p tuongnhuoclan 28-11-2023 10 4   Download

Continued part 1, part 2 of ebook "Financial products: An introduction using Mathematics and Excel" provides readers with contents including: Chapter 5 - The forward rate, forward rate agreements, swaps, caps and floors; Chapter 6 - Options; Chapter 7 - Option pricing; Chapter 8 - Credit derivatives;...

215p mocthanhdao0210 20-11-2023 9 4   Download

Continued part 1, part 2 of ebook "Depository and lending institutions: Banks and savings institutions, credit unions, finance companies, and mortgage companies" provides readers with contents including: other assets, other liabilities, and other investments; deposits; federal funds and repurchase agreements; debt; income taxes; equity and disclosures regarding capital matters; derivative instruments: futures, forwards, options, swaps, and other derivative instruments; business combinations; fair value; trust and asset management activities; insurance activities;...

447p mocthanhdao0210 19-11-2023 7 4   Download

Part 1 of ebook "Accounting for derivatives: Advanced hedging under IFRS 9" provides readers with contents including: the theoretical framework – recognition of financial instruments; the theoretical framework – hedge accounting; fair valuation – credit and debit valuation adjustments; an introduction to derivative instruments; hedging foreign exchange risk;...

313p mocthanhdao0210 19-11-2023 7 5   Download

Continued part 1, part 2 of ebook "Practical methods of financial engineering and risk management: Tools for modern financial professionals" provides readers with contents including: chapter 5 - optimal hedging monte carlo methods; chapter 6 - introduction to credit derivatives; chapter 7 - risk types, CVA, basel III, and OIS discounting; chapter 8 - power laws and extreme value theory; chapter 9 - hedge fund replication;...

180p hanlinhchi 29-08-2023 8 4   Download

Ebook "Essentials of financial risk management" identifies risk-mitigation policies and strategies; suggestions for determining an organization's risk tolerance; and sources of risk associated with currency exchange rates, interest rates, credit exposure, commodity prices, and other related events. Examples illustrate risk scenarios and offer tips on an array of management alternatives, including changes in the way business is conducted and hedging strategies involving derivatives.

272p tichhythan 17-08-2023 13 5   Download

Part 1 of ebook "Applied quantitative finance (Third edition)" has presents the following content: market risk; vaR in high dimensional systems-a conditional correlation approach; multivariate volatility models; portfolio selection with spectral risk measures; implementation of local stochastic volatility model in FX derivatives; credit risk; estimating distance-to-default with a sector-specific liability adjustment via sequential monte carlo;...

244p dieptieuung 20-07-2023 8 3   Download

presents the following content: Chapter 1: Outline, Chapter 2: Bank management and steering, Chapter 3: Banks in their regulatory and economic environment, Chapter 4: Risk modeling and capital: Credit risk (loans), Chapter 5: Risk modeling and capital: Counterparty Credit Risk (EPE), Chapter 6: Risk modeling and capital: Credit risk (securitizations), Chapter 7: Risk modeling and capital: Market risk, Chapter 8: Risk modeling and capital: Operational risk, Chapter 9: Risk modeling: Asset liability management (ALM), Appendix: A-IRB formulas for the derivation of risk-weighted assets, Appendi...

131p haojiubujain02 03-07-2023 5 3   Download

Ebook Derivatives and risk management: Part 2 presents the following content: Interest Rate Derivatives and Euro-Dollar Derivatives; Credit Derivatives; Risk Management with Derivatives I; Risk Management with Derivatives II; Management of Derivatives Exposure;...Please refer to the documentation for more details.

96p chankora 16-06-2023 4 1   Download

The research objective of the topic is to analyze the current situation of using the credit derivatives tool, explore the conditions, and propose solutions and recommendations to improve the conditions for using the credit derivatives tool in credit risk management at Vietnamese commercial banks.

45p badbuddy10 21-04-2022 32 6   Download

This paper presents a Least Square Monte Carlo approach for accurately calculating credit value adjustment (CVA). In contrast to previous studies, the model relies on the probability distribution of a default time/jump rather than the default time itself, as the default time is usually inaccessible. As such, the model can achieve a high order of accuracy with a relatively easy implementation. We find that the valuation of a defaultable derivative is normally determined via backward induction when their payoffs could be positive or negative.

25p timxiao 22-07-2020 32 3   Download

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a unique dataset, we find empirical evidence that credit risk alone is not overly important in determining creditrelated spreads. Only accounting for both collateral arrangement and credit risk can sufficiently explain unsecured credit costs.

26p timxiao 22-07-2020 63 2   Download

(BQ) In this book we provide a comprehensive examination of the credit derivatives market. As the title of the book indicates, we cover the practical applications of credit derivatives as well as the most current pricing models applied by asset managers and traders. We also discuss investment strategies that may be applied using these tools.

191p nanhankhuoctai5 01-06-2020 19 2   Download

(BQ) The next group of chapters provides the mechanics for the modeling and pricing of credit risk. These chapters are more quantitative in nature as is necessary to provide a thorough review of current credit pricing models. However, our goal is not to dazzle the reader with out knowledge of rigorous mathematics, but rather, to provide a comprehensive framework in which credit derivative contracts can be efficiently priced.

163p nanhankhuoctai5 01-06-2020 8 0   Download

The major objective of this article is to derive the inventory models for deteriorating items by maximizing the total profit of the retailer.

18p tocectocec 24-05-2020 12 0   Download

The main task of the financial system is to ensure the flow of resources from sectors with an excess of funds to those with a gap in funds. The developments of the past twenty years in particular, have paved the way for new turnovers in the field of finance and with the globalization phenomenon, foreign capital flows are transported rapidly to the farthest corners of the world. In addition, more complex market structures emerge on the agenda as well as complex financial tools and crises and their impact becomes more permanent.

19p cothumenhmong4 24-03-2020 37 2   Download

Technical efficiency, credit risk, monetary risk, systematic and unsystematic risk This paper uses production frontier model to generate and analyse the technical efficiency scores for the banks in Gulf Cooperation Council Countries. A sample of 52 banks is selected for the study. Three stages of analysis are adopted. At the first stage, the technical efficiency is analysed between countries to derive variations of between banks from one country to another. It’s found that Kuwaiti and Emirati banks are regionally best performers.

14p trinhthamhodang2 21-01-2020 41 3   Download