Results 61 to 70 of about 26,018 (204)

An Incentive Mechanism Model of Credit Behavior of SMEs Based on the Perspective of Credit Default Swaps

Complexity, 2020
The rapid development of credit default swap (CDS) market has changed the manner of credit risk management of banks to some extent and has had a new influence on the bank-enterprise credit model. In this study, the credit financing process of credit risk
Shenghong Wu, Pei Mu, Jiaxian Shen, Wenyi Wang   +3 more
doaj   +1 more source

Stock options and credit default swaps in risk management

, 2017
The use of stock options and credit default swaps (CDS) in banks is not uncommon. Stock options can induce risk-taking incentives, while CDS can be used to hedge against credit risk.
Bassam Al-Own, Marizah Minhat, Simon S. Gao   +2 more
semanticscholar   +1 more source

Sovereign Credit Risk and Stock Markets–Does the Markets’ Dependency Increase with Financial Distress?

International Journal of Financial Studies, 2014
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of ...
Paulo Pereira da Silva
doaj   +1 more source

Credit Default Swap Framework

, 2022
This article presents a framework for valuing a credit default swap (CDS) contract by taking counterparty credit risk into account. There are three sources of credit risk in CDS: the buyer, seller and reference entity. Our analysis shows that the effect of default dependencies on a CDS premium from large to small accordingly is i) the default ...
openaire   +1 more source

Asset Securitizations and Credit Default Swaps [PDF]

Financial Markets, Institutions & Instruments, 2014
This study examines the effects of off‐balance sheet versus on‐balance sheet securitizations on the originator's credit risk in the default swap (CDS) market across the recent business cycle from 2002 to 2009. I find that on‐balance sheet securitizations demonstrate greater effects on the originator's CDS premium than off‐balance sheet securitizations ...
openaire   +3 more sources

Modelling Counterparty Credit Risk in Czech Interest Rate Swaps

Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, 2017
According to the Basel Committee’s estimate, three quarters of counterparty credit risk losses during the financial crisis in 2008 originate from credit valuation adjustment’s losses and not from actual defaults.
Lenka Křivánková, Silvie Zlatošová
doaj   +1 more source

Credit default swaps as indicators of bank financial distress

Journal of International Money and Finance, 2016
We examine the ability of CDS contracts written on individual banks to provide market discipline. Changes in CDS spreads are found to represent a robust signal of bank failure, thus providing indirect market discipline.
Davide E. Avino, T. Conlon, J. Cotter
semanticscholar   +1 more source

Impacts of Credit Default Swaps on Volatility of the Exchange Rate in Turkey: The Case of Euro

International Journal of Financial Studies, 2016
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro.
Muhsin Kar, Tayfur Bayat, Selim Kayhan
doaj   +1 more source

Gezi Parkı Olaylarının Türkiye Kredi Temerrüt Swapları (CDS) Üzerine Etkisi (The Effects of Gezi Park Protests on Turkey s Credit Default Swaps (CDS))

, 2016
Credit default swap is also referred to as a credit derivative contract where the counterparty of the swap makes payments up until the maturity date of a financial contract.
Melih Kutlu, Osman Karamustafa, Musa Gün   +2 more
semanticscholar   +1 more source

Volatility Spillovers among Sovereign Credit Default Swaps of Emerging Economies and Their Determinants

Risks
This paper aims to investigate the volatility spillovers among selected emerging economies’ sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey.
Shumok Aljarba, Nader Naifar, Khalid Almeshal   +2 more
doaj   +1 more source