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The Bankers Know Best: How Regulatory Policy Shaped the Rise and Fall of the Credit Default Swap Market

Tesarfreund, Matthew - 2011

alike to their destructive power, focusing on credit default swaps (CDS), the most common credit derivative. Motivated by a …

Persistent link: https://www.econbiz.de/10009475413

Three Essays in Empirical Asset Pricing

Jacobs, Thomas A. - 2010

third essay explores the methodology of performing debt based event studies utilizing credit default swaps (CDS). It …

Persistent link: https://www.econbiz.de/10009477864

Three essays on earnings management, financial irregularities, and capital structure

Pungaliya, Raunaq Sushil - 2010

swap (CDS) contracts during 2000 to 2007, we document evidence consistent with this prediction. In particular, target … leverage is both an economically and statistically significant determinant of bond and CDS spreads, and its role increases with …

Persistent link: https://www.econbiz.de/10009466088

Implied default barrier in credit default swap premia

Alonso Sánchez, Francisco; Forte, Santiago; Marqués … - 2006

(2006) to extract the implied default point in the premium on credit default swaps (CDS). As well as considering a more … proposed by Forte and Peña (2006) to differentiate between companies with an investment grafe rating (CDS less than 150 bp) and …

Persistent link: https://www.econbiz.de/10012530153

Boom-bust cycles, imbalances and discipline in Europe : dynamics during financial stress

Alberola Ila, Enrique; Molina Sánchez, Luis; Río … - 2012

The fallout from the 2008 financial crisis has been particularly acute in the euro area Member States of the south-western rim and in the new EU Member States, due to their previously accumulated macroeconomic and financial imbalances. The perception that the euro environment provided a solid...

Persistent link: https://www.econbiz.de/10012530382

Structural Model of Retail Market Power: The U.S. Milk Industry

Hovhannisyan, Vardges; Gould, Brian W. - 2011

The objective of our research is to investigate retailer market conduct in the sale of beverage milk using a structural model of consumer behavior and retailer optimality conditions that embrace a range of competitive scenarios. The study is based on an aggregate level analysis of retailer...

Persistent link: https://www.econbiz.de/10009444320

Tractable multi-firm default models based on discontinuous processes

Scherer, Matthias - 2007

The aim of this thesis is to thoroughly study structural default models based on jump-diffusion processes. Jump-diffusion models were first proposed by Zhou (2001), who also showed that these models have several desirable properties, most important, positive short-term spreads. On the other...

Persistent link: https://www.econbiz.de/10009462191

Credit Default Swaps as Hedging Instruments Against Banks' Stock Price Fluctuations Before and During Financial Crisis

Volosenkina, Viktorija - 2010

In this paper dependence between credit default swap (CDS) values and stock price movements of the largest European … banking groups is examined and effectiveness of the usage of CDS contracts as a tool to hedge exposure to the price movements … estimated Value-at-Risk (VaR) and Expected Shortfall (ES) risk measures of portfolios consisting of stocks and CDS vis …

Persistent link: https://www.econbiz.de/10009478570

Punto de quiebra implícito en la prima de credit default swaps

Alonso Sánchez, Francisco; Forte, Santiago; Marqués … - 2006

Forte y Peña (2006) para diferenciar entre compañías con calificación de inversión (CDS inferior a 150 puntos básicos) y …

Persistent link: https://www.econbiz.de/10012530152

Short-sale constraints and financial stability : evidence from the Spanish market

Arce Hortigüela, Óscar Javier; Mayordomo Gómez, Sergio - 2014

We examine the effect of the short-selling ban in 2011 on Spanish stocks on the level of risk in the banking sector. Before the ban, short positions were found to be positive and significantly related to the creditworthiness of medium-sized banks, these being generally less internationally...

Persistent link: https://www.econbiz.de/10012530369