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Corporate Credit Derivatives

SSRN Electronic Journal, 2021
Corporate credit derivatives are over-the-counter (OTC) contracts whose payoffs are determined by a single corporate credit event or a portfolio of such events. Credit derivatives became popular in the late 1990s and early 2000s as a way for financial institutions to reduce their regulatory capital requirement, and early research treated them as ...
George E. Batta, Fan Yu
openaire   +2 more sources

A perspective on credit derivatives [PDF]

International Review of Financial Analysis, 2002
This contribution offers an explanation of credit derivatives as a group of financial instruments having a common purpose being the managing of credit exposures, and thus credit or default risk. This paper explores the links between their economic and financial manifestations and the legal bases for their widespread application.
Batten, Jonathan A., Hogan, Warren
openaire   +1 more source

The price discovery process in credit derivative market: evidence from sovereign CDS market

, 2009
The US subprime loan crisis in 2007 has caused astonishing domestic and international financial turmoil, both directly and indirectly. Being a main factor in facilitating mortgage securitisation, credit derivative market is now under the blame of ...
Nan Li
semanticscholar   +1 more source

Can Structural Models Price Default Risk? New Evidence from Bond and Credit Derivative Markets

, 2005
Using a set of structural models, we evaluate the price of default protection for a sample of US corporations. In contrast to previous evidence from corporate bond data, credit default swap (CDS) premia are not systematically underestimated. In fact, one
Jan Ericsson, Joel Reneby, Hao Wang
semanticscholar   +1 more source

Rehypothecation Dilemma: Impact of Collateral Rehypothecation on Derivative Prices Under Bilateral Counterparty Credit Risk

, 2013
Rehypothecation is the practice where a derivatives dealer reuses collateral posted from its end user in over-the-counter (OTC) derivatives markets.
Y. Sakurai, Yoshihiko Uchida
semanticscholar   +1 more source

Credit Derivatives Market [PDF]

, 2013
AbstractThe following sections are included:IntroductionThe CDS MarketThe single-name CDSCDS as a measure of credit riskMarket featuresFactors determining the credit spreadBond yield and CDS spreadPricing a CDSMultiname credit derivatives: basket products and CDS indicesCollateralized Debt ObligationCase StudiesForward-looking measures of default ...
openaire   +3 more sources

Pricing Derivatives on Financial Securities Subject to Credit Risk

, 1995
This article provides a new methodology for pricing and hedging derivative securities involving credit risk. Two types of credit risks are considered. The first is where the asset underlying the derivative security may default.
R. Jarrow, S. Turnbull
semanticscholar   +1 more source

Finding Clearing Payments in Financial Networks with Credit Default Swaps is PPAD-complete

Information Technology Convergence and Services, 2017
We consider the problem of clearing a system of interconnected banks that have been exposed to a shock on their assets. Eisenberg and Noe (2001) showed that when banks can only enter into simple debt contracts with each other, then a clearing vector of ...
Steffen Schuldenzucker, Sven Seuken, S. Battiston   +2 more
semanticscholar   +1 more source

Derivative Pricing with Liquidity Risk: Theory and Evidence from the Credit Default Swap Market

, 2009
We derive an equilibrium asset pricing model incorporating liquidity risk, derivatives, and short-selling due to hedging of nontraded risk. We show that illiquid assets can have lower expected returns if the short-sellers have more wealth, lower risk ...
Dion Bongaerts, Frank de Jong, Joost Driessen   +2 more
semanticscholar   +1 more source