Risk management of Credit Default Swap
Article Sidebar
Main Article Content
Abstract
Credit derivatives are an up to date innovation in financial markets. These financial instrument have a potential to allow enterprises to trade and manage the credit risks and market risks. The striking growth of credit derivatives suggest that participant of financial markets find them to be useful instrument for risk management. The most popular and fundamental credit derivatives is a credit default swaps (CDS). In the paper we detailed the risk management of the credit default swaps and quantified the credit risk of investors in two way: (i) calculate the term structure of default probabilities from the market prices of traded CDS and (ii) calculate prices of CDS from the probability distribution of the time-to-default Â
Keywords: credit risk; credit default swap; risk management
Downloads
Article Details
This work is licensed under a Creative Commons Attribution 4.0 International License.
Authors who publish with this journal agree to the following terms:- Authors retain copyright and grant the journal right of first publication with the work simultaneously licensed under a Creative Commons Attribution License that allows others to share the work with an acknowledgement of the work's authorship and initial publication in this journal.
- Authors are able to enter into separate, additional contractual arrangements for the non-exclusive distribution of the journal's published version of the work (e.g., post it to an institutional repository or publish it in a book), with an acknowledgement of its initial publication in this journal.
- Authors are permitted and encouraged to post their work online (e.g., in institutional repositories or on their website) prior to and during the submission process, as it can lead to productive exchanges, as well as earlier and greater citation of published work (See The Effect of Open Access).
References
Abou Hamad Chahine, Samya (2013), “Training Lebanese School Directors on ICTâ€. La Revue Pedagogique, Janvier, no.53, p.53-55.
Al-Badawi Hafwz, Ghina (2013). “The Strategic Leadership of ICT: Leading for Sustainable changeâ€. LA Revue Pedagogique, no.53, Janvier, p.56-59.
Albion, P. R. (2001). Some Factors in the Development of Self-Efficacy Beliefs for Computer Use Among Teacher Education Students. Journal of Technology and Teacher Education, 9(3), 321- 347.
Bandura, A. (1997). Self-efficacy: The Exercise of Control. New York: W.H. Freeman.
Bauer, J. F. (2000). A Technology Gender Divide: Perceived Skill and Frustration Levels Among Female Pre-service Teachers. Paper presented in November at the Annual Meeting of the Mid-South Educational Research Association, Bowling Green, KY. (Eric Document Reproduction Service No. ED 447137).
Cassidy, S., & Eachus, P. (2002). “Developing the computer user self-efficacy (CUSE) scale: Investigating the relationship between computer self-efficacy, gender and experience with computersâ€. Journal of Educational Computing Research, 26(2), 133-153.
Chao, W. (2003). Self-efficacy Toward Educational Technology: The Application in Taiwan teacher education. Journal of Educational Media & Library Sciences, 40(4), 409-415.
Chen, C. H. (2008). Why do teachers not practice what they believe regarding technology integration? Journal of Educational Research, 102(11), p. 65-75.
Cornu, B. (2010). Digital Natives in a Knowledge Society: New Challenges for Education and for Teachers. Proceedings of International Conference IITE: ICT in Teacher Education: Policy, Open Educational Resources and Partnership. UNESCO Institute for Information Technologies in Education, Moscow: Russian Federation, 10-17.
Cullen, T. A., & Green, B. A. (2011). Pre-service Teachers’ Beliefs, Attitudes, and Motivation about Technology Integration. Journal of Educational Computing Research, 45(1), 29-47.
Creswell, J. (2003). Research design: Qualitative, quantitative, and mixed methods approaches (2nd ed.). Thousand Oaks, CA: Sage Publications.
Hardy, M. D. (2003). "It should have been stressed in all education classes: Preparing pre-service teachers to teach with technologyâ€. Report: Search, AR. Eric Document Reproduction Service No. ED 478379.
Jungert, T. &Rosander, M. (2010). Self-efficacy and Strategies to Influence the Study Environment. Teaching in Higher Education, 15(6), 647-659. http://dx.doi.org/10.1080/13562517.2010.522080
Khan,J. (2013).Information Technology definition and examples.Retreived,Oct.2013
Kibbe, I (2012). Interview regarding the teachers’technology program at the *Lebanese University. Head of master’s education program, coordinator of master’s in education technology program at the Lebanese University, Faculty of Education. 20, May, 2012.
MEHE. (2012). Teaching and Learning in the Digital Age: Lebanon’s National Educational Technology Strategic Plan. The Ministry of Education and Higher Education Strategic Planning Development Team, Beirut, Lebanon.31,7, 2012, from http://www.mehe.gov.lb/Uploads/file/TLSP.pdf
MEHE. (2012). Teaching and Learning in the Digital Age: Lebanon’s National Educational Technology Strategic Plan. The Ministry of Education and Higher Education Strategic Planning Development Team, Beirut, Lebanon. Retrieved December 10, 2013, from http://www.mehe.gov.lb/Uploads/file/TLSP.pdf
Pajares, M. F. (1992). Teacher beliefs and educational research: Cleaning up a messy construct. Review of Educational Research, 62, 307-332.
Pan, A. C., & Carroll, S. Z. (2008). Pre-service Teachers Explore Instructional Software with Children. The Educational Forum, 66(4), p. 371-379.
Park, S. H., & Ertmer, P. A. (2007). Impact of Problem-based Learning on Teachers’ Beliefs Regarding Technology Use. Journal of Research on Technology in Education, 40(2), 247- 267.
Parker, M. F. (1993). The Use of Technology by Education Majors. Paper presented in November at the Mid-South Educational Research Association. New Orleans, LA. (Eric Document Reproduction Service No. ED369743)
Reasoner, Robert (1983). Enhancement of self – Esteem in Children and Adolescents. p.35-40
Roblyer, M. (2003). Integrating educational technology into teaching (3rd ed.). Upper Saddle River, N.J: Merrill/Prentice Hall.
Saad, M. (2012). Introduction of TPACK-XL for Educators and Scholars: A Transformative View of ICT-TPCK for Building Preservice Teacher Knowledge Base.fsedu. presentation, June12, 2012
Information and Communication Technology in Building Progressive Teachers ‘Knowledge Base: Cohort of Secondary Mathematics Pre- Service Teachers in Lebanon. Doctoral dissertation in Sciences of Education, Beirut-Lebanon.
Tashakkori, A., & Teddlie, C. (1998). Mixed methodology: Combining qualitative and quantitative approaches. Thousand Oaks, CA: Sage.
Tashakkori, A., &Teddlie, C. (2003). Handbook of mixed methods in social behavioral research. Thousand Oaks, CA: Sage.
Wall, A. (2004). An evaluation of the computer self-efficacy of preservice teachers. Unpublished doctoral dissertation. Tennessee State University. Nashville, Tennessee.
Wang, L., Ertmer, P. A., & Newby, T. J. (2004a). Increasing Preservice Teachers' Self-Efficacy Beliefs for Technology Integration. Journal of Research on Technology in Education, 36(3), 231-250.