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This paper analyzes the interdealer-broker market for single-name Credit Default Swaps (CDSs) using a novel dataset from the GFI trading platform. We find that CDSs exhibit reverse J-shaped patterns for trading and quoting activity in the U.S., and U-shaped patterns in Europe and Japan. We also...
Persistent link: https://www.econbiz.de/10013150232
This paper revisits the discussion about the role that fundamentals play in asset prices using sovereign credit spread data. We augment the standard macroeconomic proxy set by text-based measures of country and global fundamentals from a database of Reuters news articles between 2007 and 2016....
Persistent link: https://www.econbiz.de/10011798857
This paper investigates liquidity changes in the corporate CDS market around two events that increased market transparency and standardization during the financial crisis: the regular dissemination of CDS positions by DTCC starting November 2008, and the implementation of the Small Bang in June...
Persistent link: https://www.econbiz.de/10012856373
We estimate and test long-run risk models using international macroeconomic and financial data. The benchmark model features a representative agent who has recursive preferences with a time preference shock, a persistent component in expected consumption growth, and stochastic volatility in...
Persistent link: https://www.econbiz.de/10013225797
We develop a new model where the dynamic structure of the asset price, after the fundamental value is removed, is subject to two different regimes. One regime reflects the normal period where the asset price divided by the dividend is assumed to follow a mean-reverting process around a...
Persistent link: https://www.econbiz.de/10012973479
The forward-intensity model of Duan, {et al} (2012) is a parsimonious and practical way for predicting corporate defaults over multiple horizons. However, it has a noticeable shortcoming because default correlations through intensities are conspicuously absent when the prediction horizon is more...
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