Results 41 to 50 of about 26,018 (204)
Being Naked - et Quo hinc?: Developing a ‘Skin-in-the-Game’ Solution for Credit Default Swaps
International Journal of Financial Studies, 2022 A credit default swap (CDS) is a derivative financial instrument that provides insurance against credit risk. CDSs on subprime Asset Backed Securities (ABSs) paved the way for securitizers to hedge the credit risk of the underlying subprime loans during ...
Shanuka Senarath +4 more
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Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?*
Review of Finance, 2018 We find that a firm’s stock price reaction to its credit rating downgrade announcement is muted by 44–52% when credit default swaps (CDSs) trade on its debt.
S. Chava, Rohan Ganduri, C. Ornthanalai
semanticscholar +1 more source
A New Default Intensity Model with Fuzziness and Hesitation
International Journal of Computational Intelligence Systems, 2016 With the increased financial market volatility, corporate defaults will suffer from the double impact of the external shocks and internal contagion effects.
Liang Wu, Ya-ming Zhuang, Wen Li
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Examining what best explains corporate credit risk: accounting-based versus market-based models
Journal of Business Economics and Management, 2014 This paper uses a sample of 2,186 credit default swap spreads quoted in the European market during the period 2002–2009 to empirically analyze which model – accounting- or market-based – better explains corporate credit risk. We find little difference in
Antonio Trujillo-Ponce +2 more
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Implied Default Barrier in Credit Default Swap Premia [PDF]
SSRN Electronic Journal, 2008 This paper applies the methodology developed by Forte (2008) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more extensive international sample of corporations (96 US, European and Japanese companies) and a longer time interval (2001-2004), we make two significant contributions to the ...
Francisco Alonso +2 more
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Systemic Risk Management in Financial Networks with Credit Default Swaps [PDF]
, 2016 We study insolvency cascades in an interbank system when banks are allowed to insure their loans with credit default swaps (CDS) sold by other banks. We show that, by properly shifting financial exposures from one institution to another, a CDS market can
Mathieu V. Leduc, S. Poledna, S. Thurner
semanticscholar +1 more source
Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps
Sustainability, 2018 Using the Markov regime switching approach, we investigate the dependency of short term sovereign credit default swap (SCDS) spread changes on a nation’s country-specific fundamental factors, local, regional and macroeconomic global factors. We find that
Jason Z. Ma +3 more
semanticscholar +1 more source
Asymptotic Analysis for One-Name Credit Derivatives
Abstract and Applied Analysis, 2013 We propose approximate solutions to price defaultable zero-coupon bonds as well as the corresponding credit default swaps and bond options. We consider the intensity-based approach of a two-correlated-factor Hull-White model with stochastic volatility of
Yong-Ki Ma, Beom Jin Kim
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Bond and CDS Pricing via the Stochastic Recovery Black-Cox Model
Risks, 2017 Building on recent work incorporating recovery risk into structural models by Cohen & Costanzino (2015), we consider the Black-Cox model with an added recovery risk driver.
Albert Cohen, Nick Costanzino
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Regularities and discrepancies of credit default swaps: a data science approach through Benford's law [PDF]
, 2016 In this paper, we search whether the Benford’s law is applicable to monitor daily changes in sovereign credit default swaps (CDS) quotes, which are acknowledged to be complex systems of economic content. This test is of paramount importance since the CDS
M. Ausloos, R. Castellano, R. Cerqueti
semanticscholar +1 more source