搜索结果: 1-13 共查到“货币银行学 Correlation”相关记录13条 . 查询时间(0.125 秒)
COUNTERPARTY RISK FOR CREDIT DEFAULT SWAPS:: IMPACT OF SPREAD VOLATILITY AND DEFAULT CORRELATION
contingent credit default swaps copula functions Counterparty risk Credit Default Swaps
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2011/8/30
We consider counterparty risk for Credit Default Swaps (CDS) in presence of correlation between default of the counterparty and default of the CDS reference credit. Our approach is innovative in that,...
Correlation of financial markets in times of crisis
eigenvalues financial market volatility
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2011/3/23
Using the eigenvalues and eigenvectors of correlations matrices of some of the main financial market indices in the world, we show that high volatility of markets is directly linked with strong correl...
The fine structure of spectral properties for random correlation matrices: an application to financial markets
financial correlation matrices eigenvalue factor models
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2011/3/23
We study some properties of eigenvalue spectra of financial correlation matrices. In particular, we investigate the nature of the large eigenvalue bulks which are observed empirically, and which have ...
Marking Systemic Portfolio Risk with Application to the Correlation Skew of Equity Baskets
Marking Systemic Portfolio Risk the Correlation Skew of Equity Baskets
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2011/1/4
The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlatio...
A la Carte of Correlation Models: Which One to Choose?
copula contagion mixture model exponential decay counterparty risk
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2010/10/22
In this paper we propose a copula contagion mixture model for correlated default times. The model includes the well known factor, copula, and contagion models as its special cases. The key advantage ...
Fast Correlation Greeks by Adjoint Algorithmic Differentiation
Algorithmic Di erentiation Monte Carlo Simulations Derivatives Pricing Credit Derivatives
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2010/10/19
We show how Adjoint Algorithmic Differentiation (AAD) allows an extremely efficient calculation of correlation Risk of option prices computed with Monte Carlo simulations. A key point in the construct...
A Dynamic Correlation Modelling Framework with Consistent Stochastic Recovery
Credit Correlation CDO Dynamic Copula
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2010/10/19
This paper describes a flexible and tractable bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification. The stochastic recovery specification only models ...
Variance dispersion and correlation swaps
Variance dispersion correlation swaps
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2010/10/19
In the recent years, banks have sold structured products such as worst-of options, Everest and Himalayas, resulting in a short correlation exposure. They have hence become interested in offsetting par...
Multiscaled Cross-Correlation Dynamics in Financial Time-Series
Multiscaled Cross-Correlation Dynamics Financial Time-Series
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2010/10/18
The cross correlation matrix between equities comprises multiple interactions between traders with varying strategies and time horizons. In this paper, we use the Maximum Overlap Discrete Wavelet Tran...
Introduction into "Local Correlation Modelling"
implied correlation local correlation stochastic correlation correlation skew
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2010/11/2
In this paper we provide evidence that nancial option markets for equity indices give rise to non-trivial dependency structures between its constituents. Thus, if the in-dividual constituent distribu...
Correlation breakdown, copula credit default models and arbitrage
Correlation breakdown copula credit default models arbitrage
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2010/11/2
The recent ‘correlation breakdown’ in the modeling of credit default swaps,in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and a...
The Spread of the Credit Crisis: View from a Stock Correlation Network
networks econophysics equities stock market correlation credit crisis
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2010/10/29
The credit crisis roiling the world’s financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however,demons...
Implied Correlation for Pricing multi-FX options
Correlation multi-FX options
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2010/11/1
The number of multi-currency exotic options is large and growing. They naturally appeal to large international corporations who need to hedge their exposures in different currencies. Multi-currency op...