Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In …

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect … concentration of the firm's debt. Firms with longer credit relationships, with higher average collateral ratios of their debt, and …