Interest rate development as an indicator of credit market integration

Community Interest as An Indicator for Ranking

Ranking documents in response to users' information needs is a challenging task, due, in part, to the dynamic nature of users' interests with respect to a query. We hypothesize that the interests of a given user are similar to the interests of the broader community of which he or she is a part and propose an innovative method that uses social media to characterize the interests of the community...

Pricing Interest Rate-Sensitive Credit Portfolio Derivatives

In this paper we present a modelling framework for portfolio credit risk which incorporates the dependence between risk-free interest-rates and the default loss process. The contribution in this approach is that – besides the traditional diffusionbased covariation between loss intensities and interest-rates – a direct dependence between interest-rates and the loss process is allowed, in particu...

Interest Rate Risk in Credit Markets

Recent events have stimulated interest in the joint behavior of prices and quantities in credit markets. Data sources such as the Federal Reserve Board’s Flow of Funds Accounts (FFA) provide statistics on a rich set of credit market instruments. However, it is challenging to inter­ pret such data using economic models that speak to the allocation of risk across agents, such as households or int...

Credit contingent interest rate swap pricing

*Correspondence: [email protected] 1RBC Financial Group, 222 Bay St, M5K 1G8, Toronto, ON, Canada 2Department of Mathematics and Statistics, York University, 4700 Keele Street, M3J 1P3 Toronto, ON , Canada Full list of author information is available at the end of the article Abstract Credit value adjustment (CVA) is an adjustment to an existing trading price based on the counterparty-ri...

Dynamic Interest Rate and Credit Risk Models