Results 71 to 80 of about 40,876 (159)

Sovereign Credit Default Swap and Stock Markets in Central and Eastern European Countries: Are Feedback Effects at Work? [PDF]

Entropy (Basel), 2020
Anton SG, Afloarei Nucu AE.
europepmc   +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  

Restructuring Risk in Credit Default Swaps: An Empirical Analysis [PDF]

This paper estimates the price for restructuring risk in the U.S. corporate bond market during 1999-2005. Comparing quotes from default swap (CDS) contracts with a restructuring event and without, we find that the average premium for restructuring risk ...
Antje Berndt, ChoongOh Kang, Robert Jarrow   +2 more
core  

Turkish Stock Market from Pandemic to Russian Invasion, Evidence from Developed Machine Learning Algorithm. [PDF]

Comput Econ, 2022
Alsayed ARM.
europepmc   +1 more source

Do Equity Markets Favor Credit Market News Over Options Market News? [PDF]

Both credit default swap (CDS) and options markets often experience abnormal swings prior to the announcement of negative credit news. With the exclusion of negative earnings announcements, we find that options prices reveal information about such ...
Anastasiya Ostrovnaya, Antje Berndt
core  

Sovereign default network and currency risk premia. [PDF]

Financ Innov, 2023
Yang L, Yang L, Cui X.
europepmc   +1 more source

Informationally advantaged lenders and the credit derivative market: Evidence from Loan only Credit Default Swap (LCDX)

Applied Finance Letters
This paper explores the informational role of the Loan Only Credit Default Index (LCDX) on the pricing of syndicated loans. Despite an extensive body of research on credit indices and loan pricing, limited studies have comprehensively assessed the ...
Zagdbazar Davaadorj, Jorge Brusa
doaj   +1 more source

CAN CREDIT DEFAULT SWAPS PREDICT FINANCIAL CRISES? EMPIRICAL STUDY ON EMERGING MARKETS [PDF]

We explore the informational value of credit default swaps and the extent to which they may be linked to financial crises. After developing a theoretical framework to model the relationship between credit default swap market and equity and currency ...
Hekuran NEZIRI
core  

The determinants of sovereign risk premiums in the UK and the European government bond market: the impact of Brexit. [PDF]

Int Econ Econ Policy, 2022
Kadiric S.
europepmc   +1 more source

VALUING CREDIT DEFAULT SWAPS I: NO COUNTERPARTY DEFAULT RISK [PDF]

, 2000
This paper provides a methodology for valuing credit default swaps when the payoff is contingent on default by a single reference entity and there is no counterparty default risk.
Hull, John, Ontario, Toronto, White, Alan   +2 more
core