The relationship between credit default swap spreads, bond yields, and credit rating announcements
Journal of Banking and Finance, 2004 Mirela Predescu +2 more
exaly +3 more sources
Being Naked - et Quo hinc?: Developing a ‘Skin-in-the-Game’ Solution for Credit Default Swaps [PDF]
International Journal of Financial Studies, 2022 A credit default swap (CDS) is a derivative financial instrument that provides insurance against credit risk. CDSs on subprime Asset Backed Securities (ABSs) paved the way for securitizers to hedge the credit risk of the underlying subprime loans during ...
Shanuka Senarath +4 more
doaj +2 more sources
Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. [PDF]
J Financ Stab, 2021 Liu Y, Qiu B, Wang T.
europepmc +2 more sources
Counterparty Risk and Counterparty Choice in the Credit Default Swap Market
Management Sciences, 2016 We investigate how market participants price and manage counterparty credit risk using confidential trade repository data on single-name credit default swap (CDS) transactions.
Wenxin Du +3 more
openalex +3 more sources
Is tail risk priced in credit default swap premia? [PDF]
, 2013 We show that the propensity of a bank to experience extreme comovements in its credit default swap premia together with the market is priced in the bank’s default swap spread during the financial crisis.
Meine, Christian +2 more
core +2 more sources
Borsa Istanbul Review, 2019 In this study, we explore the volatility structure of BIST 100 index returns through Markov Regime Switching VAR model in the domain of credit risk indicators of Turkey.
Samet Gunay
doaj +2 more sources
How safe are central counterparties in credit default swap markets? [PDF]
Mathematics and Financial Economics, 2020 Mark E. Paddrik, H. Peyton Young
openalex +2 more sources
Credit Default Swap: A Scrutiny of Differentiating its Nature from Credit Insurance and Sharia Feasibility Review [PDF]
تحقیقات مالی اسلامی (پیوسته), 2021 Credit risk as a possibility of a debtor’s default in its obligations has led creditors to acquire some tools to cover it. Credit default swap as a derivative is one of the most effective risk management tools, because in addition to risk management, it ...
Diba Jafari, Mansour Amini
doaj +1 more source
Credit Default Swaps in the External Public Debt Management [PDF]
Problemi Ekonomiki, 2020 The article aims at systematizing the theoretical and methodological foundations of using credit default swaps in the external public debt management. Theoretical principles of using credit default swaps in the external public debt management are studied.
Lupenko Andrii Yu.
doaj +1 more source
Stock buybacks and credit default swap spread changes [PDF]
Seonmul yeongu, 2023 – The authors investigate whether the effects of stock buyback announcements on credit default swap (CDS) spread changes for US firms depend on macroeconomic conditions. The authors find that abnormal CDS spreads increase for small-sized firms announced
Heewoo Park, Yuen Jung Park
doaj +1 more source