Results 211 to 220 of about 669 (248)

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
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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
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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.
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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 ...
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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.
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Counterparty credit risk and the credit default swap market

Journal of Financial Economics, 2011
Abstract Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different ...
Priyank Gandhi, Francis A. Longstaff, Navneet Arora   +2 more
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Credit and basket default swaps

The Journal of Credit Risk, 2006
We evaluate extreme value distribution models for the time to default distribution embedded in market credit default swap quotes. Two distribution classes, the Weibull and Frechet are considered and it is observed that though both are adequate, the Weibull model has a better t to the data.
Dilip Madan, Michael Konikov, Mircea Marinescu   +2 more
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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
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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.
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Credit default swaps

2023
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