Download Dissertation
... I find cross-sectional evidence that the current increase in CDSto- debt ratios can predict a decrease in stock prices and an increase in CDS premia of the reference firms in the next week. Greater predictability for firms with investment grade credit ratings or low CDS-todebt ratios suggests that i ...
... I find cross-sectional evidence that the current increase in CDSto- debt ratios can predict a decrease in stock prices and an increase in CDS premia of the reference firms in the next week. Greater predictability for firms with investment grade credit ratings or low CDS-todebt ratios suggests that i ...
COM SEC(2009)
... confined to a small segment of the OTC market (i.e. credit derivatives)5, their crucial role in virtually all the segments of the OTC derivative market (in the case of Lehman and Bear Stearns) had a negative spill-over effect for the entire OTC market. The opaqueness of the market prevented, on the ...
... confined to a small segment of the OTC market (i.e. credit derivatives)5, their crucial role in virtually all the segments of the OTC derivative market (in the case of Lehman and Bear Stearns) had a negative spill-over effect for the entire OTC market. The opaqueness of the market prevented, on the ...
Guidance Note on the Calculation of Capital Requirement for Market
... exchange risk and commodity risk throughout the bank for estimating capital requirement for market risk. The capital requirement, takes into account both on- and off‐balance sheet positions that are subject to market risk. Banks that are not able to properly measure and manage the risks associated w ...
... exchange risk and commodity risk throughout the bank for estimating capital requirement for market risk. The capital requirement, takes into account both on- and off‐balance sheet positions that are subject to market risk. Banks that are not able to properly measure and manage the risks associated w ...
An Empirical Analysis of Counterparty Risk in CDS Prices
... entity, involved in a CDS contract. The early default of any party leads to the immediate change of the CDS spread. The high likelihood of the default of any party is called counterparty risk. Jarrow and Yu (2001) qualified counterparty risk as a firm specific risk. For example, the failure of the ...
... entity, involved in a CDS contract. The early default of any party leads to the immediate change of the CDS spread. The high likelihood of the default of any party is called counterparty risk. Jarrow and Yu (2001) qualified counterparty risk as a firm specific risk. For example, the failure of the ...
08 Managing Financial Risk
... In simple terms, credit risk refers to the possibility of default by the borrower. More generally, it refers to the failure of the counter-party to honour its side of the contract. Credit risk is by far, the biggest risk that financial institutions take and has been the root cause of many banking fa ...
... In simple terms, credit risk refers to the possibility of default by the borrower. More generally, it refers to the failure of the counter-party to honour its side of the contract. Credit risk is by far, the biggest risk that financial institutions take and has been the root cause of many banking fa ...
Disclosure Annex for Asset-Backed Security Derivative
... “Pay-as-you-go” credit default swaps (“PAUG CDS”) are a type of CDS developed for reference obligations that are ABSs. PAUG CDS may reference a single ABS or a portfolio of ABSs, sometimes in the form of a published index. ABSs may have complex structural features whereby the timing and amount of p ...
... “Pay-as-you-go” credit default swaps (“PAUG CDS”) are a type of CDS developed for reference obligations that are ABSs. PAUG CDS may reference a single ABS or a portfolio of ABSs, sometimes in the form of a published index. ABSs may have complex structural features whereby the timing and amount of p ...
1 Re: Comments in Response to the Consultative Document
... 1. We recognise the possible need for an additional LR buffer requirement for G-SIBs, reflecting the additional risk based G-SIB buffer requirement, if the QIS suggests that such a requirement is necessary for the LR to perform its function as a backstop. But it is important from a financial stabil ...
... 1. We recognise the possible need for an additional LR buffer requirement for G-SIBs, reflecting the additional risk based G-SIB buffer requirement, if the QIS suggests that such a requirement is necessary for the LR to perform its function as a backstop. But it is important from a financial stabil ...
Credit Product Conventions - The Australian Financial Markets
... Credit Default Swap market participants are reminded that the domicile of the Reference Entity `gives rise to various market standard terms. These are defined at http://www.isda.org/c_and_a/Credit-Derivatives-Physical-Settlement-Matrix.html Further information on the mechanics of Credit Default Swap ...
... Credit Default Swap market participants are reminded that the domicile of the Reference Entity `gives rise to various market standard terms. These are defined at http://www.isda.org/c_and_a/Credit-Derivatives-Physical-Settlement-Matrix.html Further information on the mechanics of Credit Default Swap ...
PSF Portfolio Optimization Conservative
... variety of underlying funds. It also involves direct expenses for each fund and indirect expenses for the underlying funds, which together can be higher than expenses incurred when investing directly in an underlying fund. For more information on these charges, please refer to the applicable variabl ...
... variety of underlying funds. It also involves direct expenses for each fund and indirect expenses for the underlying funds, which together can be higher than expenses incurred when investing directly in an underlying fund. For more information on these charges, please refer to the applicable variabl ...
probability prediction with static Merton-D-Vine copula model
... default swap prices etc.) and structural risk models (Merton model (1973), Longstaff and Schwartz (1995) etc.). Without any doubt these models are included among the influential methods for the credit risks measurement, which is used even in rating agencies (like KMV Moody’s methodology). Based on r ...
... default swap prices etc.) and structural risk models (Merton model (1973), Longstaff and Schwartz (1995) etc.). Without any doubt these models are included among the influential methods for the credit risks measurement, which is used even in rating agencies (like KMV Moody’s methodology). Based on r ...
Part I:
... • Risk and willingness to take risks are essential to the growth of our economy • Finance / insurance industry create markets to share risks • Financial markets cannot protect against all risks • “Safety nets” can be thought as service provision of government (forced participation of individuals), w ...
... • Risk and willingness to take risks are essential to the growth of our economy • Finance / insurance industry create markets to share risks • Financial markets cannot protect against all risks • “Safety nets” can be thought as service provision of government (forced participation of individuals), w ...
Study Guide for Final
... meant by the statement: “futures markets are zero sum games”? Be able to calculate when margin calls occur, and associated changes in margin accounts given the relevant data. Does a futures contract usually result in the delivery of the underlying asset? Explain what is meant by closing out a positi ...
... meant by the statement: “futures markets are zero sum games”? Be able to calculate when margin calls occur, and associated changes in margin accounts given the relevant data. Does a futures contract usually result in the delivery of the underlying asset? Explain what is meant by closing out a positi ...
Document
... Liquidity risk may also arise because of the inability to meet payment obligations. This is especially a risk for portfolios that are leveraged and subject to margin calls from the lender. If cash reserves are insufficient, losses in market value may create a need for cash payments, leading to an ...
... Liquidity risk may also arise because of the inability to meet payment obligations. This is especially a risk for portfolios that are leveraged and subject to margin calls from the lender. If cash reserves are insufficient, losses in market value may create a need for cash payments, leading to an ...
Analysis EC proposal for FTT - Insurance Association of Cyprus
... Of particular interest is the definition of money-market instruments. This term is also defined in other EU legislation. In UCITS IV4 for instance, Article 2 defines them as “instruments normally dealt in on the money market which are liquid and have a value which can be accurately determined at any ...
... Of particular interest is the definition of money-market instruments. This term is also defined in other EU legislation. In UCITS IV4 for instance, Article 2 defines them as “instruments normally dealt in on the money market which are liquid and have a value which can be accurately determined at any ...
This document is not to be generally distributed
... Financial repression takes capital prisoner Annual interest earned on US$10 million Invested in 2-Year Treasuries The New Normal: By replacing an economic mooring with a political one, capital has been tethered at home earning sub-economic returns. ...
... Financial repression takes capital prisoner Annual interest earned on US$10 million Invested in 2-Year Treasuries The New Normal: By replacing an economic mooring with a political one, capital has been tethered at home earning sub-economic returns. ...
securitonomics ii/ cheat sheet on asset and mortgage backed lending
... movement of interest rates up or down will have a significant impact on the fair market value. Value of fixed rate securities are also greatly impacted by the remaining term to maturity, since prices of longer term obligations fluctuate much more rapidly when market rates change than do prices on sh ...
... movement of interest rates up or down will have a significant impact on the fair market value. Value of fixed rate securities are also greatly impacted by the remaining term to maturity, since prices of longer term obligations fluctuate much more rapidly when market rates change than do prices on sh ...
Asset/Liability Management Day 4
... Assumptions-Decay Rates • Decay rates essentially are an assumption about the average life of your non-maturity deposits. They will have the most impact on your bank's EVE measurement. The longer you model these deposits to be, the more base EVE for the bank. Calculating the value of all assets and ...
... Assumptions-Decay Rates • Decay rates essentially are an assumption about the average life of your non-maturity deposits. They will have the most impact on your bank's EVE measurement. The longer you model these deposits to be, the more base EVE for the bank. Calculating the value of all assets and ...
Investment banks to face multi-billion pound CDS claims in
... European institutions to pursue their claims without needing to incur the significant cost and risk associated with these complex claims against the large banks. Our direct banking experience and our focus on funding claims relating to financial markets, as well as our involvement with the US class ...
... European institutions to pursue their claims without needing to incur the significant cost and risk associated with these complex claims against the large banks. Our direct banking experience and our focus on funding claims relating to financial markets, as well as our involvement with the US class ...
- Wasatch Advisors
... had increased the target rate in two out of three consecutive meetings since June 2006 when the target rate was raised by 0.25 of a percentage point for the 17th consecutive time. Today, Fed officials must consider many variables before raising the target interest rate, including much lower global i ...
... had increased the target rate in two out of three consecutive meetings since June 2006 when the target rate was raised by 0.25 of a percentage point for the 17th consecutive time. Today, Fed officials must consider many variables before raising the target interest rate, including much lower global i ...
URL - StealthSkater
... sums of other people's money in both of these markets, helping to create large asset "Bubbles" (or price increases) followed by "Crashes (or price dips) when they pulled out of these assets. The year before Glass-Steagall was repealed, subprime loans made up only 5% of all mortgage lending. By 2008, ...
... sums of other people's money in both of these markets, helping to create large asset "Bubbles" (or price increases) followed by "Crashes (or price dips) when they pulled out of these assets. The year before Glass-Steagall was repealed, subprime loans made up only 5% of all mortgage lending. By 2008, ...
Subprime crisis background information
This article provides background information helpful to understanding the subprime mortgage crisis. It discusses subprime lending, foreclosures, risk types, and mechanisms through which various entities involved are affected by the crisis.