Results 21 to 30 of about 64,031 (357)
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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On pricing basket credit default swaps [PDF]
Quantitative Finance, 2013 In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the analytical expressions for the ordered default time distributions with recursive formulas for the coefficients ...
Ching, WK, GU, J, Siu, T, Zheng, H
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The Real Effects of Credit Default Swaps [PDF]
SSRN Electronic Journal, 2014 We examine the e↵ect of introducing credit default swaps (CDSs) on firm value. Our model allows for dynamic investment and financing, and bondholders can trade in the CDS market. The model incorporates both negative and positive e↵ects of CDSs. CDS markets lead to more liquidations, but they also reduce the probability of costly debt renegotiation, and
Andras Danis, Andrea Gamba
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The Leverage Externalities of Credit Default Swaps [PDF]
SSRN Electronic Journal, 2013 This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo tests, and the selection of customers by suppliers.
Tang, DY, Li, JY
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Sovereign credit default swaps and the macroeconomy [PDF]
Applied Economics Letters, 2011 The aim of this study is to determine whether the domestic interest rate or the exchange rate affect the sovereign credit default swaps. To date most studies on corporate CDS markets have emphasised the importance of domestic factors such as the interest rate.
Liu, Yang, Morley, Bruce
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Basket Credit Default Swap Pricing with Two Defaultable Counterparties
Discrete Dynamics in Nature and Society, 2022 In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity of
Yu Chen, Yu Xing
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Are Credit Default Swaps Credit Default Insurances?
Journal of Applied Business Research (JABR), 2014 No, they are not. Although they exhibit similar cash flow patterns (economic perspective) this article argues that from a legal, accounting and regulatory perspective credit default swaps (CDS) are not considered to be an insurance contract. The protection buyer of a CDS is eligible to obtain the compensation without suffering any loss (and potentially
Periklis Thivaios, Christian Schmaltz
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Istanbul Business Research, 2022 This paper examines the impact of COVID-19 cases and deaths on selected financial indicators in Turkey between March 2020 and July 2020. This study analyzes the causal relationship between COVID-19 and liquidity and risk perception in Turkey.
Sabri Burak Arzova +1 more
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Credit Default Swaps networks and systemic risk [PDF]
Scientific Reports, 2014 Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis.
Puliga M., Caldarelli G., Battiston S.
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