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Credit default swap auctions [PDF]
SSRN Electronic Journal, 2009 The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these
Helwege, Jean +3 more
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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
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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
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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.
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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
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Credit Default Swaps and Systemic Risk
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rama Cont, Andreea Minca
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Pricing of Credit Risk Derivatives with Stochastic Interest Rate
Axioms, 2023 This paper deals with a credit derivative pricing problem using the martingale approach. We generalize the conventional reduced-form credit risk model for a credit default swap market, assuming that the firms’ default intensities depend on the default ...
Wujun Lv, Linlin Tian
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Finance and Economics Discussion Series, 2005 Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the CDS market and discusses its main characteristics. After describing the basic mechanics of a CDS, I present a simple valuation framework that focuses on the relationship between conditions in the cash and CDS markets as well as an ...
Lei Meng, Owain AP Gwilym
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Dynamics in the Predictability of Credit Default Swap Spreads of EU Companies
Complexity, 2023 The COVID-19 pandemic affected financial instruments and markets all around the world. Credit default swap contracts of EU companies were analysed in this paper.
Kirill Romanyuk +3 more
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Credit Default Swaps around the World [PDF]
The Review of Financial Studies, 2020 Abstract We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS payment is lower.
Bartram, Söhnke M. +3 more
openaire +2 more sources