Results 11 to 20 of about 1,390 (89)
Complexity, Volume 2023, Issue 1, 2023., 2023 Previous studies focused on the fundamental channels of the interaction between the equity market and credit default swap (CDS) market. This paper finds another channel, investor sentiment, that contributes to the impact of the equity market on the CDS market under different time horizons and market conditions within the framework of wavelet quantile ...
Weifang Mao +5 more
wiley +1 more source
Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation
Complexity, Volume 2021, Issue 1, 2021., 2021 We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better‐ and ...
Min Lu +3 more
wiley +1 more source
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Complexity, Volume 2020, Issue 1, 2020., 2020 In this study, we analyze the term structure of credit default swaps (CDSs) and predict future term structures using the Nelson–Siegel model, recurrent neural network (RNN), support vector regression (SVR), long short‐term memory (LSTM), and group method of data handling (GMDH) using CDS term structure data from 2008 to 2019.
Won Joong Kim +3 more
wiley +1 more source
Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory
Complexity, Volume 2018, Issue 1, 2018., 2018 Portfolio credit risk models estimate the range of potential losses due to defaults or deteriorations in credit quality. Most of these models perceive default correlation as fully captured by the dependence on a set of common underlying risk factors. In light of empirical evidence, the ability of such a conditional independence framework to accommodate
Ioannis Anagnostou +3 more
wiley +1 more source
Credit Derivatives Pricing Model for Fuzzy Financial Market
Mathematical Problems in Engineering, Volume 2015, Issue 1, 2015., 2015 With various categories of fuzziness in the market, the factors that influence credit derivatives pricing include not only the characteristic of randomness but also nonrandom fuzziness. Thus, it is necessary to bring fuzziness into the process of credit derivatives pricing.
Liang Wu +3 more
wiley +1 more source
Credit Portfolios, Credibility Theory, and Dynamic Empirical Bayes
International Scholarly Research Notices, Volume 2012, Issue 1, 2012., 2012 We begin with a review of (a) the pricing theory of multiname credit derivatives to hedge the credit risk of a portfolio of corporate bonds and (b) current approaches to modeling correlated default intensities. We then consider pricing of insurance contracts using credibility theory in actuarial science. After a brief discussion of the similarities and
Tze Leung Lai, I. Beg, M. Scotto
wiley +1 more source
Testing for Nonlinear Dependence in the Credit Default Swap Market
Economics Research International, Volume 2011, Issue 1, 2011., 2011 The objective of this paper is to test for nonlinear dependence in the GARCH residuals of a number of asset classes using nonlinear dynamic tools. The equity and bond market samples appear to be independent once GARCH has been applied, but evidence of nonlinear dependence in the CDS GARCH residuals is found.
Kitty Moloney +2 more
wiley +1 more source
What are the driving factors behind the rise of spreads and CDSs of Euro-area sovereign bonds? A FAVAR model for Greece and Ireland [PDF]
, 2012 This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature.
Apergis, Nicholas, Mamatzakis, Emmanuel
core +3 more sources
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]
, 2011 By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Kapar, B., Olmo, J.
core
Fiscal Rules, Independent Fiscal Institutions and Sovereign Risk: Evidence From the European Union
International Journal of Finance &Economics, Volume 31, Issue 1, Page 29-45, January 2026.ABSTRACT This paper examines the effects of fiscal rules (FRs) and independent fiscal institutions (IFIs) on sovereign risk. To address potential endogeneity issues, we employ the System Generalised Method of Moments (GMM) estimator in an analysis comprising 24 European Union member states throughout the 2007–2019 period.
Bogdan Căpraru +2 more
wiley +1 more source