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The Determinants of Credit Default Swap Premia [PDF]
Journal of Financial and Quantitative Analysis, 2009 AbstractVariables that in theory determine credit spreads have limited explanatory power in existing empirical work on corporate bond data. We investigate the linear relationship between theoretical determinants of default risk and default swap spreads.
Jan Ericsson +2 more
core +7 more sources
Is Tail Risk Priced in Credit Default Swap Premia? [PDF]
, 2013 We show that the propensity of a bank to experience extreme co-movements in its credit default swap (CDS) premia together with the market is priced in the bank’s default swap spread during the financial crisis.
Christian Meine +2 more
semanticscholar +4 more sources
Are All Credit Default Swap Databases Equal? [PDF]
SSRN Electronic Journal, 2010 AbstractWe compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5‐year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend among prices in the different databases are not random but are explained by idiosyncratic factors ...
Sergio Mayordomo +2 more
+12 more sources
Credit Default Swap and Liquidity
International Journal of Economics and Financial Issues, 2017 The recent global economic downturn that erupted in the mid 2007 saw an increase of the Credit Default Swaps (CDS) by hundred basis points and severe liquidity crunch in the financial sector of the United States.
Khaldoun Maddallah Al-Qaisi +1 more
doaj +8 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
News‐Specific Price Discovery in Credit Default Swap Markets [PDF]
, 2015 We examine the lead and lag relation between equity and credit default swap (CDS) markets. We find that price discovery in equity markets only leads CDS markets following aggregate positive news and not so following other news.
Ian W. Marsh, Wolf Wagner
openalex +2 more sources
Prizren Social Science Journal, 2018 Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country.
Ahmet KAHILOGULLARI
doaj +3 more sources
CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2015 In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS.
O. Solodka
doaj +2 more sources
The Impact of Credit Default Swap Trading on Loan Syndication * [PDF]
, 2015 We analyze the impact of CDS trading on bank syndication activity. Theoretically,the effect of CDS trading is ambiguous: on the one hand, CDS can improve risksharing and hence be a more flexible risk management tool than loan syndication; on the other ...
Daniel Streitz
openalex +2 more sources
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
, 2016 This paper mainly discusses the pricing of credit default swap (CDS) in the fractional dimension environment. We assume that the default intensity of a firm depends on the default states of counterparty firms and the term structure of interest rates, but
Wenjing Gu, Yinglin Liu, Ruili Hao
openalex +3 more sources