...Angelo Corelli Purpose The paper aims to present a framework for modeling defaultable securities and credit derivatives which allows for dependence between market risk factors and credit risk. Design/methodology/approach The default event is modeled using the Cox process when the stochastic...

...Carlos E. Ortiz; Charles A. Stone; Anne Zissu Purpose The purpose of this paper is to present an innovative model that helps create a portfolio of m‐fixed‐income securities, each with the optimal weight, in order for the portfolio to be δ‐ and γ‐hedged against small changes...

...Charles C. Yang; Mulong Wang; Xiaoying Chen Purpose Conventional wisdom states that catastrophe risk securities show no or little correlation with stock and bond markets, and offer significant attractions to investors providing a good diversification of risks. This study examines the correlation...

... ican be contacted at: Hatice.Uzun@liu.edu © Emerald Group Publishing Limited 2007 Securities Banks Capital Arbitrage United States of America Securitization – the transformation of illiquid assets (for example, mortgages, auto loans, credit card receivables, and home equity...