Results 211 to 220 of about 520 (246)
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Explaining credit default swap premia
Journal of Futures Markets, 2003AbstractThis 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.
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Counterparty credit risk and the credit default swap market
Journal of Financial Economics, 2011Abstract Counterparty credit risk has become one of the highest-profile risks facing participants in the financial markets. Despite this, relatively little is known about how counterparty credit risk is actually priced. We examine this issue using an extensive proprietary data set of contemporaneous CDS transaction prices and quotes by 14 different ...
Priyank Gandhi +2 more
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Credit and basket default swaps
The Journal of Credit Risk, 2006We evaluate extreme value distribution models for the time to default distribution embedded in market credit default swap quotes. Two distribution classes, the Weibull and Frechet are considered and it is observed that though both are adequate, the Weibull model has a better t to the data.
Dilip Madan +2 more
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Credit Default Swaps and Rating Announcements
2008This paper studies the reactions of Credit Default Swap (CDS) to rating announcements. Credit rating agencies make multiple announcements, some of which are intended to reflect the latest information available about a firm and others to provide a stable signal of credit quality.
CASTELLANO R, D'ECCLESIA, RITA LAURA
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2014
The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products.
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The objective of this bachelor thesis is to analyze the credit default swap market and the current situation at the market. The paper could be divided into three parts. In the first part it introduces the basic concepts, principles and key products.
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2010
This thesis charts the evolution of the credit default swaps (CDS) market from its inception to the present day. The first part focuses on the principles of CDS trading, the differences between CDS and insurance, the structure of the markets and variation in their volumes during the period, the influence of CDS on the credit crisis and the current ...
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This thesis charts the evolution of the credit default swaps (CDS) market from its inception to the present day. The first part focuses on the principles of CDS trading, the differences between CDS and insurance, the structure of the markets and variation in their volumes during the period, the influence of CDS on the credit crisis and the current ...
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Financial Innovation and Financial Intermediation: Evidence from Credit Default Swaps
Management Science, 2021Alexander Butler
exaly