Results 141 to 150 of about 26,018 (204)

An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela

Energy Economics, 2019
In this paper, we study the impact of oil price returns on sovereign Credit Default Swaps (CDS) spreads for two major oil producers, Russia and Venezuela.
Thomas Chuffart, E. Hooper
semanticscholar   +1 more source

The Effect of Risk Factor Disclosures on the Pricing of Credit Default Swaps

Contemporary Accounting Research, 2018
This study examines whether and how the SEC’s mandate of risk factor disclosures (RFDs) affects the pricing of credit default swaps (CDS). We predict and find that CDS spreads decrease after RFDs are made available in corporate filings.
Tzu-Ting Chiu, Yuyan Guan, Jeong‐Bon Kim   +2 more
semanticscholar   +1 more source

Credit Default Swap (CDS)

2022
Credit derivatives are financial contracts that have been widely adopted by the credit market participants as a tool for exposure management or credit investments. Upon their introduction in the mid-1990s, the credit derivatives market expanded rapidly during the period of loose monetary policy and expanding credit from 2002 through ...
Giuseppe Orlando, Michele Bufalo, Henry Penikas, Concetta Zurlo   +3 more
openaire   +2 more sources

Dynamic interdependence of sovereign credit default swaps in BRICS and MIST countries

Applied Economics, 2016
Maria E. de Boyrie, I. Pavlova
semanticscholar   +3 more sources

A jump model for credit default swaps with hierarchical clustering

Physica A: Statistical Mechanics and its Applications, 2019
The return time series of Credit Default Swaps (CDS) display possibly the highest excess kurtosis and skewness of any asset class in capital markets. Capturing this requires a departure from classical modeling techniques.
Peter J. Zeitsch
semanticscholar   +1 more source

Quality of government institutions and spreads on sovereign credit default swaps

Journal of International Money and Finance, 2018
We examine how the quality of government institutions affects the likelihood of sovereign default. We find both economically and statistically significant adverse effects of country governance indicators on sovereign credit default swap spreads.
Hsien-Yi Chen, Sheng-Syan Chen
semanticscholar   +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 in General Equilibrium: Endogenous Default and Credit-Spread Spillovers

Journal of Money, Credit and Banking, 2018
This paper highlights two new effects of credit default swap (CDS) markets in a general equilibrium setting. First, CDSs affect firms' ex ante decision to issue defaultable debt. Specifically, firms choose between two debt contracts to finance investment-
R. Darst, Ehraz Refayet
semanticscholar   +1 more source

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

Credit default swaps and debt specialization†

Journal of Financial Intermediation, 2023
Brian Clark, James Donato, Bill Francis
semanticscholar   +1 more source