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Chamizo Cana, Álvaro ; Fonollosa, Alexandre ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We analyze whether the credit market anticipated the financial crisis before the regulators using a methodology that combines the Merton model for the determination of economic capital with Vasicek’s factor model for asset correlation. Contrary [...]texto impreso
Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE)We provide a methodology to estimate a Global Credit Risk Factor (GCRF) from CDS spreads using the information provided by the default-related component of observed spreads. These are previ- ously estimated using Pan and Singleton (2008) methodo[...]texto impreso
Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Facultad de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019Hedging a credit portfolio using single name CDS is affected by high spread volatility that induces continuous changes in a portfolio mark to market, which is a nuisance. Often, the problem is that CDS on firms in the portfolio are not being tra[...]texto impreso
Chamizo Cana, Álvaro ; Novales Cinca, Alfonso | Fac. de Ciencias Económicas y Empresariales. Instituto Complutense de Análisis Económico (ICAE) | 2019We provide a methodology to estimate a global credit risk factor from CDS spreads that can be very useful for risk management. The global risk factor (GRF) reproduces quite well the different epis- odes that have affected the credit market over [...]
