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Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
Kucuk, Ugur N. - Volkswirtschaftliche Fakultät, … - 2010
actual credit default swap (CDS) premium and the hypothetical CDS premium implied by emerging market bond yields. On average … positive basis for speculative-grade bonds supports the existence of speculation in the CDS market when the underlying's credit …
Persistent link: https://www.econbiz.de/10008764702
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Credit Risks in Banking of the Countries in Transitional Phase and possible Ways of Their Reduction in Croatian Banking System
Stjepanek, Stjepan; Matić, Branko - Volkswirtschaftliche Fakultät, … - 1999
unique category. The most represented type of risk in credit is a credit risk. It is possible to divide factors of risk … between decision-making and investment influences the size of a credit risk. The length of credit structure influences the … risk. The cognition of debtor's debt servicing potential, methods of coverage credit risk and indicators of credit risk …
Persistent link: https://www.econbiz.de/10005836609
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Paying for prominence
Armstrong, Mark; Zhou, Jidong - Volkswirtschaftliche Fakultät, … - 2011
We investigate three ways in which firms can become "prominent" and thereby influence the order in which consumers consider options. First, firms can affect an intermediary's sales efforts by means of commission payments. When firms pay commission to a salesman, the salesman promotes the product...
Persistent link: https://www.econbiz.de/10009004146
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Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220308
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Loss Potential and Disclosures Related to Credit Derivatives - A Cross-Country Comparison of Corporate Bond Funds under U.S. and German Regulation
Galkiewicz, Dominika Paula - Volkswirtschaftliche Fakultät, … - 2014
This study analyzes the loss potential arising from investments into CDS for a sample of large U.S. and German mutual funds. Further, it investigates whether the comments funds make on CDS use in periodic fund reports are consistent with the disclosed CDS holdings. For several funds in the U.S.,...
Persistent link: https://www.econbiz.de/10011220510
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2008 SEC short selling ban: impacts on the credit default swap market
Courtney, Samuel - Volkswirtschaftliche Fakultät, … - 2010
797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by … investigating credit default swap (CDS) prices during the period that the ban was in effect. The hypothesis is proposed that the …
Persistent link: https://www.econbiz.de/10009386711
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2008 SEC short selling ban: impacts on the credit default swap market
Courtney, Samuel - Volkswirtschaftliche Fakultät, … - 2010
797 financial stocks. This paper studies the impact of the short selling ban on the credit derivatives market by … investigating credit default swap (CDS) prices during the period that the ban was in effect. The hypothesis is proposed that the …
Persistent link: https://www.econbiz.de/10009386713
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Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets
Neziri, Hekuran - Volkswirtschaftliche Fakultät, … - 2008
We explore the informational value of credit default swaps and the extent to which they may be linked to financial … crises. After developing a theoretical framework to model the relationship between credit default swap market and equity and … investors on the outcomes of currency and equity markets, we find credit default swaps to be a significant indicator explaining …
Persistent link: https://www.econbiz.de/10005616963
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The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps
Delis, Manthos D; Mylonidis, Nikolaos - Volkswirtschaftliche Fakultät, … - 2010
their associated credit default swaps (CDS). We use data for the Southern European countries (Greece, Italy, Portugal and …
Persistent link: https://www.econbiz.de/10008646813
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The euro sovereign debt crisis, determinants of default probabilities and implied ratings in the CDS market: an econometric analysis
Santos, Carlos - Volkswirtschaftliche Fakultät, … - 2011
improve on the scarce literature on the Econometrics of Credit Default Swap Markets on sovereign debt. Firstly, we use an …
Persistent link: https://www.econbiz.de/10009132739