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Credit Default Swap Auctions [PDF]
SSRN Electronic Journal, 2009 The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used to settle these contracts, replacing physical transfers of defaulted bonds between CDS sellers and buyers.
Jean Helwege +3 more
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ORIGIN CREDIT-DEFAULT SWAPS, AND IDIOSYNCRATIC THEIR FUNCTIONING
Sovremennye Issledovaniâ Socialʹnyh Problem, 2013 Credit-default swaps as well as all derivatives have appeared as a result of policy of a decontrol the American government of bank sector of economy.
Sharipov Marsel Albertovich +1 more
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Finance and Economics Discussion Series, 2005 Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the CDS market and discusses its main characteristics. After describing the basic mechanics of a CDS, I present a simple valuation framework that focuses on the relationship between conditions in the cash and CDS markets as well as an ...
Lei Meng, Owain AP Gwilym
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Impact of the COVID-19 Pandemic on the US Credit Default Swap Market
Complexity, 2021 The COVID-19 pandemic affected the US economy at different levels. Since credit default swaps can be viewed as a default probability indicator, the article shows the credit default swap market perspective on how the US economy was hit by the pandemic ...
Kirill Romanyuk
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INFORMATION VALUE OF THE CREDIT RATING ON THE CREDIT DEFAULT SWAPS MARKET
Quantitative Methods in Economics, 2022 The paper examines the impact of the countries’ credit ratings changes on the cost of credit defaults swaps premium. It is assumed statistical significance abnormal returns due to changes in credit ratings assigned by the agencies.
Patrycja Chodnicka-Jaworska
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Credit Default Swaps and Firm Cyclicality
Journal of Financial and Quantitative Analysis, 2023 AbstractWe find firm cyclicality decreases by 40% after the inception of credit default swap (CDS) trading. The effect stems from CDS firms’ less aggressive asset growth in good times and is stronger for firms facing a more severe empty creditor problem. Important identification issues are addressed.
Lars Norden, Chao Yin, Lei Zhao
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Endogenous trading in credit default swaps [PDF]
Decisions in Economics and Finance, 2015 We introduce a real options model in order to quantify the moral hazard impact of credit default swap (CDS) positions on the corporate default probabilities. Moral hazard is widely addressed in the insurance literature, where the insured agent may become less cautious about preventing the risk from occurring.
Chesney, Marc +2 more
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Економіка, управління та адміністрування, 2023 The article is devoted to the development of assessment indicators for ensuring the financial stability of banking activities during transactions with derivative financial instruments, which was carried out using the hypothetical-deductive method ...
O.M. , A.O.
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Are Credit Default Swaps Credit Default Insurances?
Journal of Applied Business Research (JABR), 2014 No, they are not. Although they exhibit similar cash flow patterns (economic perspective) this article argues that from a legal, accounting and regulatory perspective credit default swaps (CDS) are not considered to be an insurance contract. The protection buyer of a CDS is eligible to obtain the compensation without suffering any loss (and potentially
Christian Schmaltz, Periklis Thivaios
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Prizren Social Science Journal, 2018 Foreign investors who come to the country receive credit default swaps which are an insurance against the possibility of failing to fulfill the obligations of the host country.
Ahmet KAHILOGULLARI
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