Credit default swaps (CDSs)
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of ...
This paper analyzes the theoretical properties and statistical behavior of credit default swap (CDS) premiums over time.
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This paper quantifies and explains the valuation differences between credit default swaps (CDSs) and corporate bonds from a sample of European investment-grade firms. Based on all information gained through...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.