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Securitisation, Banks, CDOs, CDS, Valuation, Credit, Risk
Credit Spread, CDS, government bond, financial crisis, limits to arbitrage
Economic uncertainty, Risk aversion, Time variation in risk and return, Credit spread, Volatility dynamics
Credit Default Swap, Value at Risk, Structural Credit Risk Models
Credit default swap, Value at Risk, Capital structure arbitrage
Banks, Basel II, capital requirements, financial regulation, financial stability, financial supervision, risk management
Asset correlations, sector concentration, credit portfolio risk
Central clearing party, margin, credit default swap, collateral, client clearing
central clearing party, margin, credit default swap, collateral, client clearing
ABX, credit risk, subprime mortgages, pricing
OTC derivatives, network analysis, interest rate risk, banking, risk management, hedging
Asset relief, impaired assets, asset purchase, asset guarantee
Credit Spread, Credit derivative, Collateralised Debt Obligation, Correlation
ABX index, mortgage-backed securities, pricing, risk premia
Option prices, risk-neutral density, volatility, spillover
flow-of-risk, systemic risk, credit default swap, financial networks, network architecture
option prices, risk-neutral density, density evaluation, overlapping data
Credit Default Swap (CDS), financial networks, network topology, network determinants
CDS, contagion, systemic risk, derivatives
contagion, systemic risk, financial distress, liquidity shortages
Central Counterparties, initial margin models, model governance and validation., risk management
