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Arbitrage-free valuation of bilateral counterparty risk for interest-rate products : impact of volatilities and correlations
Brigo, Damiano; Pallavicini, Andrea; Papatheodorou, … - In: International journal of theoretical and applied finance 14 (2011) 6, pp. 773-802
Persistent link: https://www.econbiz.de/10009381011
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The reaction of European credit default swap spreads to the US credit rating downgrade
Blau, Benjamin; Roseman, Brian S. - In: International review of economics & finance : IREF 34 (2014), pp. 131-141
Persistent link: https://www.econbiz.de/10010533161
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The information content of ratings : an analysis of Australian credit default swap spreads
Wang, Jue; Svec, Jiri; Peat, Maurice - In: Abacus : a journal of accounting, finance and business … 50 (2014) 1, pp. 56-75
Persistent link: https://www.econbiz.de/10010351521
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Kreditderivate : zwischen Kapitalmarkt und bankbetrieblicher Verwendung
Norden, Lars - 2004
Persistent link: https://www.econbiz.de/10002221342
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The relationship between credit default swap spreads, bond yields, and credit rating announcements
Hull, John; Predescu, Mirela; White, Alan - In: Journal of banking & finance 28 (2004) 11, pp. 2789-2811
Persistent link: https://www.econbiz.de/10002362016
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Länder- und Hoheitsrisiken : eine kritische Analyse von Methoden und Verfahren zur Risikoevaluierung
Will, Frank - 2001
Persistent link: https://www.econbiz.de/10001535657
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Exploring for the determinants of credit risk in credit default swap transaction data : is fixed-income markets' information sufficient to evaluate credit risk?
Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002
Persistent link: https://www.econbiz.de/10001743415
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Do Credit Default Swaps Mitigate the Impact of Credit Rating Downgrades?
Chava, Sudheer - 2018
We find that a firm's stock price reaction to its credit rating downgrade announcement is muted by 44--52% when credit default swaps (CDSs) trade on its debt. We explore the role of the CDS markets in providing information ex ante and relieving financing frictions ex post for downgraded firms....
Persistent link: https://www.econbiz.de/10012940251
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Credit Ratings and Credit Default Swaps During the European Sovereign Debt Crisis
Katyaayun, Utkarsh - 2017
We investigate the relationship between credit rating events and credit default swap spreads for EU countries around …
Persistent link: https://www.econbiz.de/10012942537
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The dynamics of rating based credit benchmark curves
Heidorn, Thomas; Schlamann, Sara - 2022
. Using more than 1.5 million data points of individual bonds, instead of using index data, monthly asset swap spread (ASW …
Persistent link: https://www.econbiz.de/10013207136