Results 191 to 200 of about 648 (233)

Essays on credit default swap

, 2009
openaire   +1 more source

Some of the next articles are maybe not open access.

Related searches:

Credit Default Swaps and Systemic Risk

SSRN Electronic Journal, 2014
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rama Cont, Andreea Minca
openaire   +2 more sources

Credit Default Swaps and Debt Overhang

SSRN Electronic Journal, 2017
We analyze the impact of credit default swaps (CDSs) trading on firm investment, long-term debt financing, and valuation. In our model, the firm is endowed with a real option to initiate a project and enhance its future growth. Its creditors have access to CDS contracts that hedge them against default losses.
Tak-Yuen Wong, Jin Yu
openaire   +1 more source

The Delivery Option in Credit Default Swaps

SSRN Electronic Journal, 2007
Under standard assumptions the deterministic reduced-form credit risk model is not capable of accurately pricing the two fundamental credit risk instruments - bonds and credit default swaps (CDS) - simultaneously. Using a data set of euro-denominated corporate bonds and CDS our paper quantifies this mispricing by calibrating such a model to the bond ...
Jankowitsch, Rainer, Pullirsch, Rainer, Veza, Tanja   +2 more
openaire   +3 more sources

MULTI-CURRENCY CREDIT DEFAULT SWAPS

International Journal of Theoretical and Applied Finance, 2019
Credit default swaps (CDS) on a reference entity may be traded in multiple currencies, in that, protection upon default may be offered either in the currency where the entity resides, or in a more liquid and global foreign currency. In this situation, currency fluctuations clearly introduce a source of risk on CDS spreads.
Brigo, D, Pede, N, Petrelli, A
openaire   +2 more sources

Valuation of credit default swaps and swaptions

Finance and Stochastics, 2004
This paper aims to develop a valuation framework for single-name credit derivatives that combine an arbitrary numeraire with a general conditional probability of survival arising from a subfiltration. The author starts from first financial principles and proceeds in a self-contained manner within a general probabilistic framework.
openaire   +1 more source

Credit default swaps

2007
Die Diplomarbeit behandelt das Thema Credit Default Swaps, da diese in der Wirtschaft immer mehr an Bedeutung gewinnen. Das ausstehenden Nominalvolumen von Credit Default Swaps ist in den letzten Jahren rasant angestiegen. Ein Grund liegt in der Weiterentwicklung der Standardverträge der International Swaps and Derivatives Association, die zu mehr ...
openaire   +1 more source

Explaining credit default swap premia

Journal of Futures Markets, 2003
AbstractThis article proposes a simple approach for explaining credit default swap premia. Specifically, it investigates the effects of historical and option‐implied equity volatility on credit default swap premia, thus extending an idea proposed by Campbell and Taksler (in press) in the context of corporate bond yields.
openaire   +1 more source

Credit Default Swaps and Rating Announcements

2008
This paper studies the reactions of Credit Default Swap (CDS) to rating announcements. Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others to provide a stable signal of credit quality.
CASTELLANO R, D'ECCLESIA, RITA LAURA
openaire   +3 more sources

Credit default swaps

2014
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products.
openaire   +1 more source