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Bank loan renegotiation and credit default swaps
Clark, Brian; Donato, James; Francis, Bill B.; Shohfi, … - In: Journal of banking & finance 151 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014463074
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Credit Value Adjustment in the Extended Structural Default Model
Lipton, Alexander; Rennie, Andrew - In: The Oxford handbook of credit derivatives. 2012
Persistent link: https://www.econbiz.de/10012882002
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Chapter 20. Credit Derivatives
Hull, John; White, Alan - 2013
This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...
Persistent link: https://www.econbiz.de/10014025358
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Bank Loan Renegotiation and Credit Default Swaps
Clark, Brian J. - 2020
Using Roberts (2015) loan-level data from 2000 to 2011, we find that the inception of CDS trading on reference firms … after the inception of CDS trading and tend to exhibit longer loan maturities. Evidence is consistent with the empty … creditor problem arising from CDS trading and the resulting decrease in the negotiation power of borrowers. Our research …
Persistent link: https://www.econbiz.de/10012853623
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Do credit default swaps impact lenders' monitoring of loans?
Essaddam, Naceur; Hossain, Miran; Hussain, Tashfeen - In: Review of quantitative finance and accounting 61 (2023) 2, pp. 567-600
Persistent link: https://www.econbiz.de/10014342044
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Credit default swaps and debt specialization
Clark, Brian; Donato, James; Francis, Bill B. - In: Journal of financial intermediation 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014304595
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CDS and Credit : After the Bangs Cheaper Credit Insurance, More Lending and Hedging
Gündüz, Yalin; Ongena, Steven; Tumer-Alkan, Gunseli; … - 2021
bank-firm level CDS trading data from DTCC to the German credit register containing bilateral bank-firm credit exposures …. We assess the differential impact on market participants of the “Big Bang” and “Small Bang” standardization across CDS … markets. We find that after the Bangs, the cost of buying CDS contracts becomes lower for non-dealer banks, and that – because …
Persistent link: https://www.econbiz.de/10013219935
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CDS and credit: the effect of the bangs on credit insurance, lending and hedging
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023
Persistent link: https://www.econbiz.de/10014483049
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CDS and credit : after the bangs cheaper credit insurance, more lending and hedging
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2021
Persistent link: https://www.econbiz.de/10012796769
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Electronic Trading of Distressed Bank Loans
Manickam, Ravindran - 2009
An electronic stock exchange is a market place where buyers and sellers of financial instruments conclude trades without physical contact. In India, we have electronic exchanges for currencies, commodities, equity, debt, etc. This article looks at the need for and importance of an electronic...
Persistent link: https://www.econbiz.de/10013158851