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We use the information in credit-default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads. We find that the majority of the corporate spread is due to default risk. This result holds for all rating categories and is robust to the...
Persistent link: https://www.econbiz.de/10012468275
Sovereign CDS quanto spreads--the difference between CDS premiums denominated in U.S. dollars and a foreign currency--tell us how financial markets view the interaction between a country's likelihood of default and associated currency devaluations (the Twin Ds). A noarbitrage model applied to...
Persistent link: https://www.econbiz.de/10012453210
We study the effects of dollar swap lines using high frequency responses in asset prices around policy announcements …. News about expanded dollar swap lines causes a reduction in liquidity premia, compression of deviations from covered …-term government bond prices is mixed. The cross-section of high frequency responses implies that swap lines affect the dollar factor …
Persistent link: https://www.econbiz.de/10014437032
markets. The implicit international contract is analogous to a total return swap in domestic financial markets. Using market …
Persistent link: https://www.econbiz.de/10012467963
In this paper, we describe the evolution of the Federal Reserve's swap lines from their inception in 1962 as a … the Great Recession. We describe a number of consequences associated with swap operations. We argue, for example, that …
Persistent link: https://www.econbiz.de/10012457911
relatively small premium. De- flation risk is also significantly linked to measures of financial tail risk such as swap spreads …
Persistent link: https://www.econbiz.de/10012459424
Derivative contracts, swaps, and repos enjoy "super-senior" status in bankruptcy: they are exempt from the automatic stay on debt and collateral collection that applies to virtually all other claims. We propose a simple corporate finance model to assess the effect of this exemption on firms'...
Persistent link: https://www.econbiz.de/10012461058
transparency or illiquidity. However, several of the important announcements concerning the international swap programs …
Persistent link: https://www.econbiz.de/10012461299
the single-name variance swap market to dry up completely. This paper defines and analyzes a simple variance swap, a … relative of the variance swap that in several respects has more desirable properties. First, simple variance swaps are robust …
Persistent link: https://www.econbiz.de/10012461773
sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters EOD, CMA, Markit and JP Morgan, using the most liquid …
Persistent link: https://www.econbiz.de/10012462067