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The pricing of portfolio credit risk
Tarashev, Nikola A. (Avtor), Zhu, Haibin (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.bis.org/publ/work214.pdf Novo okno

Izvleček
Equity and credit-default-swap (CDS) markets are in disagreement as to the extent to which asset returns co-move across firms. This suggests market segmentation and casts ambiguity about the asset-return correlations underpinning observed prices of portfolio credit risk. The ambiguity could be eliminated by -- currently unavailable -- data that reveal the market valuation of low-probability/large-impact events. At present, judicious assumptions about this valuation can be used to reconcile observed prices with asset-return correlations implied by either equity or CDS markets. These conclusions are based on an analysis of tranche spreads of a popular CDS index, which incorporate a rather small premium for correlation risk.

Jezik:Angleški jezik
Ključne besede:trg kapitala, investicije, portfolio, kreditiranje, tveganje, donos, donosnost kapitala, indeksi, capital market, investments, portfolio, crediting, risk, yield, return on equity, indexes
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2006
Založnik:Bank for International Settlements
Št. strani:36 str.
Kraj:Basel (Switzerland)
UDK:336.76
COBISS.SI-ID:17679846 Povezava se odpre v novem oknu
Število ogledov:565
Število prenosov:155
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
Skupna ocena:(0 glasov)
Vaša ocena:Ocenjevanje je dovoljeno samo prijavljenim uporabnikom.
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