Results 71 to 80 of about 26,018 (204)
Subprime Mortgage Defaults and Credit Default Swaps
The Journal of Finance, 2012 ABSTRACTWe offer the first empirical evidence on the adverse effect of credit default swap (CDS) coverage on subprime mortgage defaults. Using a large database of privately securitized mortgages, we find that higher defaults concentrate in mortgage pools with concurrent CDS coverage, and within these pools the loans originated after or shortly before ...
Eric Arentsen +4 more
openaire +2 more sources
Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data. [PDF]
Empir Econ, 2023 Zema SM.
europepmc +1 more source
Does Bitcoin Hedge Industry Credit Risk? A Comparison with Gold
The Lahore Journal of BusinessCredit default swaps are considered indicators of default probability and used to measure credit risk in different sectors of the US industry. This study examines the effectiveness of hedging and safe-haven options for US sectoral credit default ...
Saqib Farid +2 more
doaj
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
doaj
Modelling sovereign credit ratings and assessing the impartiality: A case study of China. [PDF]
PLoS One, 2023 Su M.
europepmc +1 more source
An Algorithm for the Pricing and Timing of the Option to make a Two-Stage Investment with Credit Guarantees. [PDF]
Comput Econ, 2022 Dong L, Yang Z.
europepmc +1 more source
, 2019 This article presents a model for valuing a credit default swap (CDS) contract that is affected by the credit risks of the buyer, seller and reference entity. Many people in market believe that, if a CDS is fully collateralized, there is no risk of failure to pay.
openaire +2 more sources
Credit Spread Modeling: Macro-financial versus HOC Approach
Economic Analysis, 2014 The aim of this paper is to throw light on the relationship between credit spread changes and past changes of U.S. macro-financial variables when invariants do not have Gaussian distribution.
Sanja Dudaković
doaj
Borsa Istanbul ReviewUsing the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on ...
Alan T. Wang, Chin-Chia Liang
doaj +1 more source
COVID-19 and credit risk: A long memory perspective. [PDF]
Insur Math Econ, 2022 Yin J, Han B, Wong HY.
europepmc +1 more source