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The information content of OTC individual put option implied volatility for credit default swap spreads

Park, Yuen Jung; Kim, Tong Suk - In: Asia-Pacific journal of financial studies 41 (2012) 4, pp. 491-516

Persistent link: https://www.econbiz.de/10009618798

The linkage between the options and credit default swap markets during the subprime mortgage crisis

Kim, Tong Suk; Park, Yuen Jung; Noh, Jaesun - In: The journal of futures markets 33 (2013) 6, pp. 518-554

Persistent link: https://www.econbiz.de/10009756568

Macroeconomic conditions and credit default swap spread changes

Kim, Tong Suk; Park, Jae Won; Park, Yuen Jung - In: The journal of futures markets 37 (2017) 8, pp. 766-802

Persistent link: https://www.econbiz.de/10011950882

Asymmetric information in the equity market and information flow from the equity market to the CDS market

Park, Heewoo; Kim, Tong Suk; Park, Yuen Jung - In: Journal of financial markets 55 (2021), pp. 1-19

Persistent link: https://www.econbiz.de/10014543775

Macroeconomic Conditions and Credit Default Swap (CDS) Spread Changes

Kim, Tong Suk - 2014

We investigate whether the business cycle is an important determinant of credit default swap (CDS) spreads and estimate the expected market risk premium as a proxy for the business cycle. Through portfolio regression, we find that structural model variables, including the business cycle, explain...

Persistent link: https://www.econbiz.de/10013043454