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Kakushadze, Zura - 2019

We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads,...

Persistent link: https://www.econbiz.de/10012863946

The Liquidity of Credit Default Index Swap Networks

Haynes, Richard - 2019

increases as trade size increases. We also identify a few liquidity trends: measures like average daily volumes, average price …

Persistent link: https://www.econbiz.de/10012871667

Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk

Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2021

We develop a theoretical model quantifying how firm-level pandemic exposure and sentiment, as informational shocks, affect a firm’s credit spread and default risk. Consistent with model predictions, we find significantly positive impacts on single-name credit default swap (CDS) spreads from...

Persistent link: https://www.econbiz.de/10013225671

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Comparing Models of Corporate Bankruptcy Prediction : Distance to Default vs. Z-Score

Miller, Warren - 2009

This paper examines the performance of two commonly applied bankruptcy prediction models, the accounting ratio-based Altman Z-Score model, and the structural Distance to Default model which currently underlies Morningstar's Financial Health Grade for public companies (Morningstar 2008)....

Persistent link: https://www.econbiz.de/10013156771

Liquidity risk, credit risk, and the Federal Reserve’s responses to the crisis

Sarkar, Asani - 2009

aggressive use of both traditional monetary policy instruments and innovative tools in an effort to provide liquidity. In this … to be necessary. -- Crisis response ; Federal Reserve ; counterparty credit risk ; liquidity risk ; limits to arbitrage …

Persistent link: https://www.econbiz.de/10003947548

Liquidity backstops and dynamic debt runs

Wei, Bin; Yue, Vivian Z. - 2015

Liquidity backstops have important implications for financial stability. In this paper, we provide a microfoundation … for the important role of liquidity backstops in mitigating runs (or, conversely, the role of the lack of liquidity … financial crisis of 2007-09 provide a natural experiment to identify the value of a liquidity backstop in mitigating runs …

Persistent link: https://www.econbiz.de/10011396851

Liquidity Backstops and Dynamic Debt Runs

Wei, Bin - 2015

Liquidity backstops have important implications for financial stability. In this paper we provide a microfoundation for … the important role of liquidity backstops in mitigating runs (or, conversely, the role of the lack of liquidity backstops … financial crisis of 2007-09 provide a natural experiment to identify the value of a liquidity backstop in mitigating runs …

Persistent link: https://www.econbiz.de/10013020995

Credit Default Swaps

Bomfim, Antulio N. - 2022

Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the CDS market and discusses its main characteristics. After describing the basic mechanics of a CDS, I present a simple valuation framework that focuses on the relationship between...

Persistent link: https://www.econbiz.de/10013289298

CDS central counterparty clearing default measures : road to recovery or invitation to predation?

Tywoniuk, Magdalena - 2020

theoretical results with parameter magnitudes and sensitivities. Examination of three market liquidity scenarios provides … intuition for effective liquidity injection by a Lender of Last Resort …

Persistent link: https://www.econbiz.de/10012419635

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