An Empirical Comparison of Default Swap Pricing Models [PDF]
, 2002 In this paper we compare market prices of credit default swaps with model prices. We showthat a simple reduced form model with a constant recovery rate outperforms the market practice ofdirectly comparing bonds' credit spreads to default swap premiums ...
Houweling, Patrick, Vorst, Ton
core
Volatility spillover networks of credit risk: Evidence from ASW and CDS spreads in Turkey and Brazil [PDF]
PanoeconomicusThis study examines received and transmitted volatility spillovers of Credit Default Swap (CDS) and Asset-Swap Spread (ASW) for Brazil and Turkey. The empirical analysis is implemented using two country-based (stock markets and exchange rates) and two ...
Gunay Samet +2 more
doaj +1 more source
Debt rollover risk, credit default swap spread and stock returns: Evidence from the COVID-19 crisis. [PDF]
J Financ Stab, 2021 Liu Y, Qiu B, Wang T.
europepmc +1 more source
Credit Derivatives Pricing with a Smile-Extended Jump Stochastic Intensity Model [PDF]
We present a two-factor stochastic default intensity and interest rate model for pricing single-name default swaptions. The specific positive square root processes considered fall in the relatively tractable class of affine jump diffusions while allowing
Damiano Brigo, Naoufel El-Bachir
core
Asset Securitizations and Credit Default Swaps [PDF]
Financial Markets, Institutions & Instruments, 2014 This study examines the effects of off‐balance sheet versus on‐balance sheet securitizations on the originator's credit risk in the default swap (CDS) market across the recent business cycle from 2002 to 2009. I find that on‐balance sheet securitizations demonstrate greater effects on the originator's CDS premium than off‐balance sheet securitizations ...
openaire +3 more sources
An Empirical Comparison of Default Swap Pricing Models [PDF]
, 2001 : In this paper we compare market prices of credit default swaps with model prices. We show that a simple reduced form model with a constant recovery rate outperforms the market practice of directly comparing bonds' credit spreads to default swap ...
Houweling, P. (Patrick) +1 more
core
Quantifying Correlation Uncertainty Risk in Credit Derivatives Pricing
International Journal of Financial Studies, 2018 We propose a simple but practical methodology for the quantification of correlation risk in the context of credit derivatives pricing and credit valuation adjustment (CVA), where the correlation between rates and credit is often uncertain or unmodelled ...
Colin Turfus
doaj +1 more source
The pricing of risk in European credit and corporate bond markets [PDF]
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation ...
Berndt, Antje, Obreja, Iulian
core
Credit Risk and the Yen Interest Rate Swap Market [PDF]
, 2001 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 di erent maturities and analyze the ...
Eom, Young Ho +2 more
core
Determinantes do Bond Spread e do Credit Default Swap: Por que são diferentes? O caso da Petrobras
Revista Contabilidade & Finanças, 2016 Neste artigo, estudamos os principais determinantes do risco de crédito da Petrobras, medido por meio dos asset swap spreads (ASW) e dos credit default swaps (CDS), replicando os principais trabalhos sobre o tema e analisando se os dois produtos apreçam ...
Fernando Nascimento de Oliveira +1 more
doaj +1 more source