Results 11 to 20 of about 33,753 (322)
Credit default swaps drawup networks: too interconnected to be stable? [PDF]
PLoS ONE, 2013 We analyse time series of CDS spreads for a set of major US and European institutions in a period overlapping the recent financial crisis. We extend the existing methodology of ε-drawdowns to the one of joint ε-drawups, in order to estimate the ...
Rahul Kaushik, Stefano Battiston
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Credit default swaps (CDSs): an effective tool to manage credit risk of Indian banks [PDF]
Journal of Money and Business, 2022 Purpose – Credit default swaps (CDSs) are among the most widely used credit derivatives since their innovation and designed to hedge the credit risk of reference entities.
Tabassum, Mohammad Yameen
doaj +3 more sources
Credit Default Swaps networks and systemic risk. [PDF]
Sci Rep, 2014 Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis.
Puliga M, Caldarelli G, Battiston S.
europepmc +9 more sources
Credit Default Swaps and Systemic Risk
SSRN Electronic Journal, 2014 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Rama Cont, Andreea Minca
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Analysis of Lithuanian credit default swaps
Journal of Business Economics and Management, 2015 This paper studies international sovereign Credit Default Swaps (CDS) market focusing attention to the CDS of Central and East Europe. The main purpose of the study was to perform detail analysis of Lithuanian CDS in the global capital market.
Arvydas Kregzde, Gediminas Murauskas
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On Pricing Basket Credit Default Swaps [PDF]
Quantitative Finance, 2012 In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model.
Ching, Wai-Ki +3 more
core +7 more sources
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 Nordén, Chao Yin, Lei Zhao
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Explaining Aggregate Credit Default Swap Spreads
SSRN Electronic Journal, 2011 We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007-2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants.
Bastian Breitenfellner, Niklas Wagner
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Credit Default Swap: A Scrutiny of Differentiating its Nature from Credit Insurance and Sharia Feasibility Review [PDF]
تحقیقات مالی اسلامی (پیوسته), 2021 Credit risk as a possibility of a debtor’s default in its obligations has led creditors to acquire some tools to cover it. Credit default swap as a derivative is one of the most effective risk management tools, because in addition to risk management, it ...
Diba Jafari, Mansour Amini
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Properly pricing country risk: a model for pricing long-term fundamental risk applied to central and eastern European countries [PDF]
Financial Theory and Practice, 2010 The private sector has used proxies such as sovereign credit ratings, spreads on sovereign bonds and spreads on sovereign credit default swaps (CDS) to gauge country risk, even though these measures are pricing the risk of default of government bonds ...
Debora Revoltella +2 more
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