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Credit Default Swaps and Systemic Risk
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Cont, R, Minca, A
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e-Journal Perdagangan Industri dan Moneter, 2019 The rapid development of the global financial market today is getting faster and integrated with the existence of advanced technology. Along with economic issues in various worlds, directly related to the global economic crisis that occurred in 2008-2009
Dwi Hastuti +2 more
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Credit risk mitigation warrants initiation and private enterprise debt default risk [PDF]
Journal of Asian Business and Economic StudiesPurposeThis study examines the role of credit risk mitigation warrants (CRMWs) in reducing default risk in China's private bond market during rising default rates and tightening credit since 2018, particularly for financially distressed enterprises ...
Futie Song, Xuechen Shen
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How do “gatekeepers” affect credit risk?
Journal of Management Science and Engineering, 2021 This study investigates the relationship between auditor tenure and credit default swap (CDS) spreads of U.S. firms based on quantile regression.
Xu Li, Xingtong Zhang, Yinggang Zhou
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Credit Default Swap Regulation in Experimental Bond Markets
Social Science Research Network, 2019 Credit default swaps (CDS) played an important role in the financial crisis of 2008. While CDS can be used to hedge risks, they can also be used for speculative purposes (as occurred during the financial crisis) and regulations have been proposed to ...
Matthias Weber, J. Duffy, A. Schram
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Borsa Istanbul Review, 2020 There is only a limited amount of research that addresses questions pertaining to the relationship between the asset management sector and the economy.
Fiza Qureshi +4 more
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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
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How Does Risk Flow in the Credit Default Swap Market?
Social Science Research Network, 2016 We develop a framework to analyse the Credit Default Swaps (CDS) market as a network of risk transfers among counterparties. From a theoretical perspective, we introduce the notion of flow-of-risk and provide sufficient conditions for a bow-tie network ...
M. d’Errico +3 more
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ANALYSIS OF LITHUANIAN CREDIT DEFAULT SWAPS
Journal of Business Economics and Management, 2015 This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market. We compared the CDS markets of other countries and found some commonalities between them.
Kregzde, Arvydas, Murauskas, Gediminas
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Are Credit Default Swaps Associated with Higher Corporate Defaults? [PDF]
SSRN Electronic Journal, 2011 Are companies with traded credit default swap (CDS) positions on their debt more likely to default? Using a proportional hazard model of bankruptcy and Merton’s contingent claims approach, we estimate the probability of default for U.S. nonfinancial firms.
Stavros Peristiani, Vanessa Savino
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