Results 101 to 110 of about 42,935 (251)
Credit Derivatives and the Default Risk of Large Complex Financial Institutions [PDF]
This paper addresses the impact of developments in the credit risk transfer market on the viability of a group of systemically important financial institutions.
Christos Ioannidis +2 more
core
Modeling Fuzzy Moral Hazard in Credit Default Swap Pricing: A Reduced-Form Approach
International Journal of Computational Intelligence SystemsIn existing literature, moral hazard is often modeled as a constant. However, moral hazard can be “fuzzy” rather than “precisely defined.” As moral hazard is dynamic and variable, exhibiting both constancy and differentiation, its representation through ...
Liang Wu, Hongtao Hua
doaj +1 more source
The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit. [PDF]
Int Econ Econ Policy, 2022 Kadiric S.
europepmc +1 more source
Credit derivatives: an overview [PDF]
Arising from financial institutions' need to hedge and diversify credit risk, credit derivatives have now become a major investment tool. Almost all credit derivatives take the form of the credit default swap, which transfers default risk from one party ...
David Mengle
core
An empirical study on the decoupling movements between corporate bond and CDS spreads [PDF]
Applied to the European markets, this paper analyzes the price of credit risk on the Credit Default Swap (CDS) and corporate bond markets by comparing the sensitivity of the credit spreads on each market to systematic, idiosyncratic risk factors and ...
Alexopoulou, Ioana +2 more
core
Taking advantage of credit default swaps in European markets [PDF]
, 2012 Credit default swaps are the leading indicators in bond and equity markets. The movement of credit default swaps can explain sovereign bond and equity market movements in distressed countries.
Kosmitis, Phillip
core +1 more source
A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors [PDF]
An important research area of the corporate yield spread literature seeks to measure the proportion of the spread that can be explained by factors such as the possibility of default, liquidity, tax differentials and market risk.
Geneviève Gauthier +4 more
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Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets [PDF]
We explore the informational value of credit default swaps and the extent to which they may be linked to financial crises. After developing a theoretical framework to model the relationship between credit default swap market and equity and currency ...
Neziri, Hekuran
core +1 more source