Finance
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Stochastic Calculus for Finance: The ... - Google Books
Evolution des CDS
The buyer of a credit default swap receives credit protection, whereas the seller of the swap guarantees the credit worthiness of the product. By doing this, the risk of default is transferred from the holder of the fixed income security to the seller of the swap. The main goal of credit default markets is to establish market prices for a given default risk. Credit default contracts are also used as part of the mechanism behind many collateralized debt obligations (CDOs).
On a nationwide basis, Fannie Mae and Freddie Mac own or guarantee 60 percent of the mortgages outstanding, but they account for only 29 percent of seriously delinquent loans, obviously a much lower proportion than their share of the market. Even though the Enterprises have a smaller share of seriously delinquent loans than other market participants, they account for just over half of all Home Affordable Modification Program, or HAMP modifications. Between HAMP modifications and their own proprietary loan modifications, Fannie Mae and Freddie Mac have completed more than 1.1 million loan modifications since the fourth quarter of 2008. It has been well-publicized that there is one form of loan modification that FHFA has not embraced, that being principal forgiveness . To be clear, the disagreement is not about helping borrowers.
Calculated Risk
Macroeconomic Balance Sheet Visualizer
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Mathématisation de la finance
Copula (statistics) - Wikipedia, the free encyclopedia
In probability theory and statistics , a copula can be used to describe the dependence between random variables . Copulas derive their name from linguistics . The cumulative distribution function of a random vector can be written in terms of marginal distribution functions and a copula. The marginal distribution functions describe the marginal distribution of each component of the random vector and the copula describes the dependence structure between the components. Copulas are popular in statistical applications as they allow one to easily model and estimate the distribution of random vectors by estimating marginals and copula separately.