Results 21 to 30 of about 42,935 (251)
CREDIT DEFAULT SWAPS IN THE MECHANISM OF REDISTRIBUTION OF CREDIT RISK
Вісник Київського національного університету імені Тараса Шевченка. Серія Економіка, 2015 In the article the economic nature and the functioning of CDS in terms of efficient redistribution of credit risk. The features of the dynamics of the nominal volume of the world market CDS, the gross market value and net market value of the CDS.
O. Solodka
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, 2008 In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the
Gikhman, Ilya
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Вісник Харківського національного університету імені В.Н. Каразіна: Серія Міжнародні відносини, економіка, країнознавство, туризм, 2019 The article investigates the state of the Eurozone countries’ financial security in the context of the world economic environment globalization. For the purpose of this, financial security is considered in terms of institutional, instrumental, and ...
Nataliia Goncharenko +3 more
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Complexity, 2020 The rapid development of credit default swap (CDS) market has changed the manner of credit risk management of banks to some extent and has had a new influence on the bank-enterprise credit model. In this study, the credit financing process of credit risk
Shenghong Wu +3 more
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Complexity, 2023 Previous studies focused on the fundamental channels of the interaction between the equity market and credit default swap (CDS) market. This paper finds another channel, investor sentiment, that contributes to the impact of the equity market on the CDS ...
Weifang Mao +4 more
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Is tail risk priced in credit default swap premia? [PDF]
, 2013 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.
Meine, Christian +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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In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then
Gikhman, Ilya
core +7 more sources
Credit Risky Securities Valuation under a Contagion Model with Interacting Intensities
Journal of Applied Mathematics, 2011 We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap (CDS). This model assumes that default intensities are driven by external common factors as well as other defaults in the
Anjiao Wang, Zhongxing Ye
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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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