In our paper we present how the Hungarian credit default swap (CDS) market functions, and indicate its position in the global credit derivatives markets. Our primary goals are to glean some information from the CDS spreads about Hungary's credit risk, and to determine the role of the Hungarian...

In diesem Beitrag wird die Einsatzmöglichkeit eines Kreditderivats vom Typ einer Kreditoption für eine Bank untersucht. Das Management des Kreditrisikos erfährt in jüngerer Zeit besondere Aufmerksamkeit. Gestiegenen Kreditausfallrisiken begegnen Kreditinstitute mehr und mehr durch die...

When a sovereign faces the risk of debt default, it may be tempted to expropriate the private sector. This may be one reason why international investment in private companies has to take into account the sovereign risk. But the likelihood of sovereign risk transferring to corporates and...

We examine what are common factors that determine systematic credit risk and estimate and interpret the common risk factors. We also compare the contributions of common factors in explaining the changes of credit default swap (CDS) spreads during the pre-crisis, crisis and post-crisis period....

In the framework of the industrial economics approach to banking we extend the analysis of hedging against default on loans to the case of two types of credit risk. Standard results on the optimal hedge volume and the hedging effectivity from the single?risk case are shown to carry over to the...

This study calibrates the term structure of risk premia before and during the 2007/2008 financial crisis using a new calibration approach based on credit default swaps. The risk premium term structure was flat before the crisis and downward sloping during the crisis. The instantaneous risk...

This paper decomposes the explained part of the CDS spread changes of 31 listed euro area banks according to various risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and other market and business variables are identified to...

This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...