Results 321 to 330 of about 66,578 (384)

Network Topology of Dynamic Credit Default Swap Curves of Energy Firms and the Role of Oil Shocks

Energy Journal, 2022
Using network analysis on the connectedness of default factors in a credit default swap (CDS) dataset of U.S. and European energy firms, we provide the first evidence of differences in the shape and dynamics of the interconnectedness of the level, slope,
Elie Bouri, S. Shahzad
semanticscholar   +1 more source

Tournament Incentives and Firm Credit Risk: Evidence from Credit Default Swap Referenced Firms

Journal of Business Finance & Accounting, 2019
In this paper, we evaluate the impact of managerial tournament incentives on firm credit risk in credit default swap (CDS) referenced firms. We find that intra‐firm tournament incentives are negatively related to credit risk.
Lijing Du, Jian Huang, B. A. Jain
semanticscholar   +1 more source

Institutional quality and sovereign credit default swap spreads

Journal of futures markets, 2019
We examine how the quality of political, legal, and regulatory institutions impacts sovereign risk premia. An improvement in institutional quality significantly lowers a country's sovereign credit default swap (CDS) spread, even after controlling for ...
Wei Huang, Shu Lin, Jian Yang
semanticscholar   +1 more source

Dynamic credit default swap curves in a network topology

Quantitative finance (Print), 2019
Systemically important banks are connected and their default probabilities have dynamic dependencies. An extraction of default factors from cross-sectional credit default swap (CDS) curves allows us to analyze the shape and the dynamics of default ...
Xiu Xu, C. Chen, W. Härdle
semanticscholar   +1 more source

Credit Default Swaps: A Primer and Some Recent Trends

Annual Review of Financial Economics, 2020
The credit default swap (CDS) remains an important class of derivatives contract despite the declining activity in the single-name corporate market. I provide a quick introduction to the contracts, the pricing formula used to interpret the market premiums, the development in trading volumes, and some key insights that are important for understanding ...
openaire   +2 more sources

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
openaire   +3 more sources

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 ...
openaire   +1 more source

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.
openaire   +1 more source

CREDIT‐DEFAULT SWAPS ARE NOT TO BLAME

Critical Review, 2009
ABSTRACT Though accused by critics of helping to cause the current financial crisis, credit‐default swaps are blameless. The accusation is understandable, however, given misunderstandings about how a credit‐default swap actually works. A careful look into its mechanism shows that it is not only simpler than thought, but that it is also vital to keeping
openaire   +1 more source

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
openaire   +3 more sources