Credit Derivatives: Did They Exacerbate the 2007 Global Financial Crisis? AIG: Case Study

Alnassar, Walaa Ismael; Al-shakrchy, Eatessam; Almsafir, Mahmoud Khalid

doi:10.1016/j.sbspro.2013.12.584

Cited by 4 publications

(1 citation statement)

References 16 publications

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“…Credit derivative swaps (CDS) have become a key innovation in the credit risk market in the last few years, mainly because they are a versatile and adjustable financial instrument that splits the credit exposure of financial products between two or more parties (ALNASSAR et al, 2014). Coudert and Gex (2010) explain that the functionality of a CDS is simple, and that there are three parties involved: the credit buyer (CB), the credit seller (CS), and the reference company (RC).…”

Section: Introductionmentioning

confidence: 99%

World Financial Relations: Understanding the Credit Derivative Swaps (Cds) Dependence Structure

Müller

Righi

Amorin

2018

REAd. Rev. eletrôn. adm. (Porto Alegre)

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This study investigates the copula model that best fit to model the dependence structure of Credit Derivative Swaps (CDS) spreads. For the analysis, we consider daily data from the period of January 1, 2009 to December 31, 2014. Regarding the models, we considered Vine copulas and Hierarchical Archimedean copulas, and different families of copulas. Our results indicate that C-Vine copulas, as well Student t family, demonstrated better performance, according to the criteria used to get the dependence structure. The best fit of the dependence structure can avoid the model risk, from the use of an incorrect model.

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Section: Introductionmentioning

confidence: 99%

World Financial Relations: Understanding the Credit Derivative Swaps (Cds) Dependence Structure

Müller

Righi

Amorin

2018

REAd. Rev. eletrôn. adm. (Porto Alegre)

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Credit Derivatives, Their Risks and Role in Global Financial Crisis

Dural

2016

Contributions to Management Science

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Exploring the Russian Derivatives Market

Ivasenko

Maevskii

2019

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Investments through the mechanisms of derivatives are opening a wide range of opportunities for participants on the financial stock. The process of making a derivative investment is the most useful for investments and insurance companies or any other commercial structures on the Russian Federation market and it is a challenging way to invest, which allows ensuring risks and makes a profit at the same time. Economical meaning of different kinds of derivatives is explained. The scientifical article is provided with a historical line about the appearance of derivatives in the Russian Federation to achieve fulfillment in an understanding of undergoing processes on the Russian financial stock. Some essential statistic data on different kinds of derivatives is presented. Particular attention paid to the mathematical methods of derivative cost calculation. The main sources of legal power in a field of Russian derivatives stocks are presented and some analysis of certain law regulations is completed. Overall, research is giving some theoretical investment strategies for participants in the stock market. Purpose: To explain an economical meaning of the derivatives, demonstrate the mechanism of insuring risks by derivatives. Methodology: in article economic-mathematical methods, and also statistical methods of the analysis were used. Results: The main types of derivatives are listed, the economical meaning is explained, methods of mathematical calculation of some types of derivatives are shown. Practical implication: results of this study can be implied by some commercial companies and individual investors.

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Credit Derivatives: Did They Exacerbate the 2007 Global Financial Crisis? AIG: Case Study

Cited by 4 publications

References 16 publications

World Financial Relations: Understanding the Credit Derivative Swaps (Cds) Dependence Structure

World Financial Relations: Understanding the Credit Derivative Swaps (Cds) Dependence Structure

Credit Derivatives, Their Risks and Role in Global Financial Crisis

Exploring the Russian Derivatives Market

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