We provide detailed descriptions, including over 550 mathematical formulas, for over 150
trading strategies across a host of asset classes (and trading styles). This includes stocks …

We study the effect of credit default swaps (CDSs) on the bond market. Using a
comprehensive sample of US corporate bonds, we document that the presence of CDSs …

In this study, we explore the volatility structure of BIST 100 index returns through Markov
Regime Switching VAR model in the domain of credit risk indicators of Turkey. Also, July …

Kredi derecelendirme kuruluşları, bir şirketin veya ülkenin kredi itibarını ve temerrüt
olasılığını göstermek için kredi notu verirler. 2008 küresel krizi sonrası kredi derecelendirme …

The credit valuation adjustment (CVA) on an over-the-counter derivative transaction is the
price of the risk associated with the potential default of the counterparties to the trade. This …

Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to
replicate the risk-free bank account until a credit event by a static portfolio of a bond and …

We investigated CDS-bond basis trading strategies during five different events, which
possibly have caused market uncertainty on the European market. Those events include the …

As a consequence of the high volatility regime recently established in the government bond
market, investors may seek hedging their exposure to floating asset swap spreads. We …

A database-driven multi-agent model has been developed with automated access to US
bank level Federal Deposit Insurance Corporation (FDIC) Call Reports, which yield data on …

El estudio presenta la estructuración del derivado financiero Credit Default Swap (CDS),
como instrumento de cobertura sobre bonos corporativos emitido por Ecopetrol. Como base …