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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 contracts, replacing physical transfers of defaulted bonds between CDS sellers and buyers.
Jean Helwege +3 more
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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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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
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Impact of the COVID-19 Pandemic on the US Credit Default Swap Market
Complexity, 2021 The COVID-19 pandemic affected the US economy at different levels. Since credit default swaps can be viewed as a default probability indicator, the article shows the credit default swap market perspective on how the US economy was hit by the pandemic ...
Kirill Romanyuk
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Impact of Macro Indicators on Istanbul Stock Exchange During Covid-19 Pandemic
İzmir İktisat Dergisi, 2022 This research analyses the effects of the macro indicators like credit default swap, exchange rate, oil prices and gold prices on the Istanbul Stock Exchange (BIST100 Index) during the Covid-19 period by applying vector autoregressive model. In the model,
Volkan Kaymaz, Özlem Yılmaz
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