In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then the bond price just after default is...

In [10] we presented a reduced form of risky bond pricing. At the default date a bond seller fail to continue fulfill his obligation and the price of the bond sharply drops down. If the face value of the defaulted bond for no-default scenarios is $1 then the bond price just after default is...

In [10] we presented a reduced form of risky bond pricing. At default date, a bond seller fails to continue fulfilling his obligation and the price of the bond sharply drops. For nodefault scenarios, if the face value of the defaulted bond is $1 then the bond price just after the default is...

In this paper, I show that Polleit and Mariano (2011) are right in concluding that Credit Default Swaps (CDS) are per se unobjectionable from Rothbard's libertarian perspective on property rights and contract theory, but that they fail to derive this conclusion properly. I therefore outline the...

Using a new dataset of bid and offer quotes for credit default swaps, we investigate the relationship between theoretical determinants of default risk and actual market premia using cross sectional regressions. These theoretical determinants are variance risk premia, implied volatility and the...

Cet article montre, à partir d'une analyse sur longue période 2001-2007 des relations inter temporelles entre les marchés français des credit default swap (CDS), des actions et des obligations, comment une innovation financière comme les CDS pourrait être à l'origine d'une instabilité...

Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles...