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CDS index tranches and the pricing of credit risk correlations

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  • Jeffery D Amato
  • Jacob Gyntelberg

Abstract

Standardised loss tranches based on credit default swap (CDS) indices have increased liquidity in the market for credit risk correlations. Although progress is being made, quantitative modelling of these correlations is complex and not yet fully developed.

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Bibliographic Info

Article provided by Bank for International Settlements in its journal BIS Quarterly Review.

Volume (Year): (2005)
Issue (Month): (March)
Pages:

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Handle: RePEc:bis:bisqtr:0503g

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  1. M. Davis & V. Lo, 2001. "Infectious defaults," Quantitative Finance, Taylor & Francis Journals, vol. 1(4), pages 382-387.
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Cited by:
  1. repec:hal:cesptp:halshs-00179325 is not listed on IDEAS
  2. I. Onur Filiz & Xin Guo & Jason Morton & Bernd Sturmfels, 2008. "Graphical models for correlated defaults," Papers 0809.1393, arXiv.org.
  3. Wang, Dezhong & Rachev, Svetlozar T. & Fabozzi, Frank J., 2009. "Pricing of credit default index swap tranches with one-factor heavy-tailed copula models," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 201-215, March.
  4. Claudio E. V. Borio & Kostas Tsatsaronis, 2005. "Accounting, prudential regulation and financial stability: elements of a synthesis," BIS Working Papers 180, Bank for International Settlements.
  5. Tao Peng, 2010. "Portfolio Credit Risk Modelling and CDO Pricing - Analytics and Implied Trees from CDO Tranches," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 8.
  6. Abel Elizalde, 2006. "CREDIT RISK MODELS IV: UNDERSTANDING AND PRICING CDOs," Working Papers wp2006_0608, CEMFI.
  7. Jeffery D Amato, 2005. "Risk aversion and risk premia in the CDS market," BIS Quarterly Review, Bank for International Settlements, December.
  8. Ma, Guonan & Remolona, Eli M., 2006. "Learning by doing in market reform: Lessons from a regional bond fund," HWWI Research Papers 2-6, Hamburg Institute of International Economics (HWWI).
  9. Petra Buzková & Petr Teplý, 2012. "Collateralized Debt Obligations´ Valuation Using the One Factor Gaussian Copula Model," Prague Economic Papers, University of Economics, Prague, vol. 2012(1), pages 30-49.
  10. Claudio, Ferrarese, 2006. "A comparative analysis of correlation skew modeling techniques for CDO index tranches," MPRA Paper 1668, University Library of Munich, Germany.
  11. Guonan Ma & Eli M Remolona, 2005. "Opening markets through a regional bond fund: lessons from ABF2," BIS Quarterly Review, Bank for International Settlements, June.
  12. Claudio E. V. Borio, 2007. "Change and constancy in the financial system: implications for financial distress and policy," BIS Working Papers 237, Bank for International Settlements.
  13. François-Louis Michaud, 2005. "Gestion d'actifs et dérivés de crédit : opportunités et incertitudes," Revue d'Économie Financière, Programme National Persée, vol. 79(2), pages 79-93.
  14. Michael Chiu, 2012. "Derivatives markets, products and participants: an overview," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Proceedings of the workshop "Data requirements for monitoring derivative transactions", organised by the People's Bank of China and the Irving Fisher , volume 35, pages 3-11 Bank for International Settlements.
  15. Yinqiu Lu & Jorge A. Chan-Lau, 2006. "Idiosyncratic and Systemic Risk in the European Corporate Sector," IMF Working Papers 06/107, International Monetary Fund.
  16. Jacob Gyntelberg & Guonan Ma & Eli M Remolona, 2005. "Corporate bond markets in Asia," BIS Quarterly Review, Bank for International Settlements, December.
  17. Zhu, Haibin & Tarashev, Nikola A., 2008. "The pricing of correlated default risk: evidence from the credit derivatives market," Discussion Paper Series 2: Banking and Financial Studies 2008,09, Deutsche Bundesbank, Research Centre.
  18. Ingo Fender & Janet Mitchell, 2005. "Structured finance : complexity, risk and the use of ratings," Financial Stability Review, National Bank of Belgium, vol. 3(1), pages 127-135, June.
  19. Choroś-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "Valuation of collateralized debt obligations with hierarchical Archimedean copulae," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 42-62.
  20. Franck Packer & Haibin Zhu, 2005. "Contractual terms and CDS pricing," BIS Quarterly Review, Bank for International Settlements, March.

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