Results 21 to 30 of about 43,092 (274)
Are All Credit Default Swap Databases Equal? [PDF]
SSRN Electronic Journal, 2010 AbstractWe compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5‐year CDS in the iTraxx and CDX indexes from 2004 to 2010. Deviations from the common trend among prices in the different databases are not random but are explained by idiosyncratic factors ...
Sergio Mayordomo +2 more
openaire +6 more sources
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
core +1 more source
, 2023 https://ia904700.us.archive.org/2/items/variableMbsValuation/variableMbsValuation ...
openaire +2 more sources
, 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
core +3 more sources
The Degradation of Access‐Based Business Models: Customer Misbehavior and Shared Mobility
Business Strategy and the Environment, EarlyView.ABSTRACT Access‐based services are considered one of the strategies to embed sustainability in business models. Yet, because the evolution of these business models has been overlooked, we do not know whether their promise to create triple value is sustained.
Andres Camacho, Carmen Valor
wiley +1 more source
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
openaire +1 more source
Business Strategy and the Environment, EarlyView.ABSTRACT Businesses are increasingly striving to reduce their carbon footprint, with carbon offsetting emerging as a viable pathway towards achieving carbon neutrality. Such efforts signify a demonstrated commitment to fostering environmental sustainability and contributing to a more sustainable future.
Sanjeev Yadav +4 more
wiley +1 more source
Why Do Hedgers Hedge? The Role of Ambiguity
Journal of Futures Markets, EarlyView.ABSTRACT This paper investigates whether ambiguity influences hedging behavior in commodity futures markets. Using high‐frequency crude oil futures data, distinct measures of risk and ambiguity are linked to weekly hedging positions from the Commodity Futures Trading Commission (CFTC).
Fiona Höllmann
wiley +1 more source
ESG Performance and Credit Risk: Evidence From Chinese Manufacturing Companies
International Journal of Finance &Economics, EarlyView.ABSTRACT This study investigates the effect of corporate environmental, social, and governance (ESG) performance on credit risk using a sample of manufacturing firms listed on China's Shanghai and Shenzhen A‐share markets from 2009 to 2021. Employing fixed effects, the generalised method of moments, and instrumental variable models, we find that ...
Yanan Wang +4 more
wiley +1 more source
Credit Risk and the Yen Interest Rate Swap Market [PDF]
, 2000 In this paper, we investigate the pricing of Japanese yen interest rate swaps during the period 1990-96. We obtain measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze the ...
Eom, Young Ho +2 more
core +1 more source