Results 91 to 100 of about 33,753 (322)
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
The Effects of Information Technologies on the Bankruptcy Decision
Financial Management, EarlyView.ABSTRACT Exploiting the staggered adoptions of electronic systems across 70 bankruptcy courts in the United States, I investigate the impacts of digital transformation on bankruptcy behavior. The digital transformation in bankruptcy courts significantly lowered the cost of filing by enabling debtors to file for bankruptcy online, yet empirical tests ...
Jeyul Yang
wiley +1 more source
Credit derivatives: an overview [PDF]
Arising from financial institutions' need to hedge and diversify credit risk, credit derivatives have now become a major investment tool. Almost all credit derivatives take the form of the credit default swap, which transfers default risk from one party ...
David Mengle
core
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
On Reduced Form Intensity-based Model with Trigger Events
, 2013 Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions.
Ching, Wai-Ki +3 more
core +1 more source
Testing for Contagion in International Financial Markets: To See More, Go Higher
Financial Review, EarlyView.ABSTRACT Traditional measures of financial contagion rely on correlation shifts, overlooking higher moments such as skewness and kurtosis. We examine contagion during two major financial crises, incorporating lower‐ and higher‐moment measures. We analyze stock market returns from 22 major markets at different frequencies, offering a global perspective ...
Simeon Coleman, Vitor Leone
wiley +1 more source
Modelling Counterparty Credit Risk in Czech Interest Rate Swaps
Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017 According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
doaj +1 more source
Pricing default swaps: empirical evidence [PDF]
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 premiums.
Houweling, P., Vorst, A.C.F.
core +1 more source
Pricing default swaps: empirical evidence [PDF]
, 2003 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 premiums.
Houweling, P. (Patrick) +1 more
core
Expansion of invasive carabids across elevation and habitats on sub‐Antarctic South Georgia
Insect Conservation and Diversity, EarlyView.Two introduced carabid species have continued to expand their ranges on the sub‐Antarctic island of South Georgia over the past 10–15 years. The species have colonised inland valleys and are present across habitats but are more abundant in those with high vegetation cover. N‐mixture models revealed the optimal sampling method, intensity and habitat for
Pierre Tichit +5 more
wiley +1 more source