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Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...

Persistent link: https://www.econbiz.de/10014315233

Equity market information and credit risk signaling : a quantile cointegrating regression approach

Gatfaoui, Hayette - In: Economic modelling 64 (2017), pp. 48-59

Persistent link: https://www.econbiz.de/10011756467

The economic significance of CDS price discovery

Xiang, Vincent; Chng, Michael T.; Fang, Victor - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011796591

The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...

Persistent link: https://www.econbiz.de/10003721579

Does modeling framework matter? : A comparative study of structural and reduced-form models

Gündüz, Yalın; Uhrig-Homburg, Marliese - 2011

This study provides a rigorous empirical comparison of structural and reduced-form credit risk frameworks. As major difference we focus on the discriminative modeling of default time. In contrast to previous literature, we calibrate both approaches to bond and equity prices. By using same input...

Persistent link: https://www.econbiz.de/10009010090

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Forte, Santiago - 2020

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...

Persistent link: https://www.econbiz.de/10012848868

A Value at Risk Analysis of Credit Default Swaps

Raunig, Burkhard - 2016

letzten Jahren den Handel mit Kreditrisiko signifikant vereinfacht. Ein standardisiertes Kontrakt-Design, niedrige … Kreditderivat. Wir analysieren das Risiko von CDS, die im Handelsbuch gehalten werden. Wir vergleichen den Value at Risk (VaR) der … mit hohem Kreditrisiko deutlich geringer. Die Distanz sinkt auch bei längeren Haltedauern. Wir beobachten weiter eine …

Persistent link: https://www.econbiz.de/10012989272

Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility

Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33

Persistent link: https://www.econbiz.de/10014250993

Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 9-51). 2016

Persistent link: https://www.econbiz.de/10011733591

Industry-level determinants of the linkage between credit and stock markets

Shahzad, Syed Jawad Hussain; Ferrer, Román; Hammoudeh, … - In: Applied economics 50 (2018) 49, pp. 5277-5301

Persistent link: https://www.econbiz.de/10012062147

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