Results 21 to 30 of about 66,578 (384)
Credit Default Swaps and Firm Cyclicality
Journal of Financial and Quantitative Analysis, 2023 AbstractWe find firm cyclicality decreases by 40% after the inception of credit default swap (CDS) trading. The effect stems from CDS firms’ less aggressive asset growth in good times and is stronger for firms facing a more severe empty creditor problem. Important identification issues are addressed.
Lars Norden, Chao Yin, Lei Zhao
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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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Prizren Social Science Journal, 2018 Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country.
Ahmet KAHILOGULLARI
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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
Christian Schmaltz, Periklis Thivaios
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Endogenous trading in credit default swaps [PDF]
Decisions in Economics and Finance, 2015 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Chesney, Marc +2 more
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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 Derivatives Pricing Models [PDF]
Problemi EkonomikiDerivatives play an important role in the processes that take place in the global economy and economic growth. They are critical for hedging risks in the banking sector, managing the interest rate in the activities of pension funds, satisfying insurance ...
Viadrova Inna M. +2 more
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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
Danis, Andràs , Gamba, Andrea
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Persistence of Bank Credit Default Swap Spreads
Risks, 2019 Credit default swap (CDS) spreads measure the default risk of the reference entity and have been frequently used in recent empirical papers. To provide a rigorous econometrics foundation for empirical CDS analysis, this paper applies the augmented Dickey&
Xin Huang
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