Results 11 to 20 of about 66,578 (384)
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
openaire +5 more sources
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
doaj +1 more source
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
Is Tail Risk Priced in Credit Default Swap Premia? [PDF]
, 2015 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.
Christian Meine +2 more
semanticscholar +3 more sources
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
openaire +2 more sources
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
doaj +1 more source
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
doaj +1 more source
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
doaj +1 more source
A measure of Turkey's sovereign and banking sector credit risk: Asset swap spreads
Central Bank Review, 2021 The existence of the credit derivatives written on the eurobonds such as credit default swaps or asset swaps allows policymakers and investors to monitor the evolvement of credit risk. However, these instruments are mostly available in advanced economies,
Doruk Küçüksaraç +3 more
doaj +1 more source
What Explains the Sovereign Credit Default Swap Spreads Changes in the GCC Region?
Journal of Risk and Financial Management, 2020 This paper aimed to investigate the drivers of sovereign credit risk spreads changes in the case of four Gulf Cooperation Council (GCC) countries, namely Kingdom of Saudi Arabia (KSA), the United Arab Emirates (UAE), Qatar, and Bahrain.
Nader Naifar
semanticscholar +1 more source