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Valuation Differences between Credit Default Swap and Corporate Bond Markets
Entrop, Oliver - 2014
credit model to the time series of the issuer's CDS curve, we define a new corporate bond-specific measure for the valuation … difference. Our results show that, on average, risk premia implied in corporate bonds exceed those in CDS markets by a much …
Persistent link: https://www.econbiz.de/10013069439
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The Pricing of Risk in European Credit and Corporate Bond Markets
Berndt, Antje; Obreja, Iulian - 2021
This paper investigates the determinants of the default risk premia embedded in the European credit default swap spreads. Using a modified version of the intertemporal capital asset pricing model, we show that default risk premia represent compensation for bearing exposure to systematic risk and...
Persistent link: https://www.econbiz.de/10013316873
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Brexit and CDS spillovers across UK and Europe
Bouoiyour, Jamal; Selmi, Refk - In: European journal of comparative economics 16 (2019) 1, pp. 105-124
dynamics of CDS volatility spillover effects surrounding the UK's EU membership referendum commonly known as "Brexit". Using a … were drawn. We detect significant build-ups in CDS prices for all countries under study soon after the day relative to the … the underlined CDS. In particular, we find that UK, Italy and Spain are the "net volatility transmitters", while France …
Persistent link: https://www.econbiz.de/10012259768
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The Dynamics of Sovereign Yields Over Swap Rates in the Eurozone Market
David-Pur, Lior - 2020
bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …
Persistent link: https://www.econbiz.de/10012824253
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The Zero Lower Bound and Economic Determinants of the Volatility Surface in the Interest Cap Markets
Kim, Myeong Hyeon - 2017
We address an important yet unanswered question: What would be the economic determinants of the implied volatility during the zero lower bound periods? To answer this question, we examine time variations of the cap market implied volatility and investigate economic determinants on slopes and...
Persistent link: https://www.econbiz.de/10012969150
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Market Liquidity Risk Premia in Eurozone Government Bonds' Yield Spreads
Kahlert, Dennis - 2017
analysis to the liquidity driven bond/CDS basis to examine the proportion of systematic and idiosyncratic determinants of …
Persistent link: https://www.econbiz.de/10012969408
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The Swaption Cube
Trolle, Anders B. - 2016
We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes changing sign. Conditional skewness...
Persistent link: https://www.econbiz.de/10013008774
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Short-Term Rate Benchmarks : The Post-LIBOR Regime
Tuckman, Bruce - 2023
LIBOR, the predominant family of global short-term rate benchmarks for the past 40 years, ceases to exist in June 2023. Given the low volumes of interbank loans on which LIBOR had been based, the revelations that LIBOR had been manipulated, and the risks that countless LIBOR-dependent financial...
Persistent link: https://www.econbiz.de/10014254685
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Quantitative easing and the supply of safe assets : evidence from international bond safety premia
Christensen, Jens H. E.; Mirkov, Nikola; Zhang, Xin - 2024
Through large-scale asset purchases, widely known as quantitative easing (QE), central banks around the world have affected the supply of safe assets by buying quasi-safe bonds in exchange for truly safe reserves. We examine the pricing effects of the European Central Bank's bond purchases in...
Persistent link: https://www.econbiz.de/10015062504
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Mutual excitation in eurozone sovereign CDS
Aït-Sahalia, Yacine; Laeven, Roger J. A.; Pelizzon, Loriana - 2014 - This Version: May 14, 2014
We study self- and cross-excitation of shocks in the Eurozone sovereign CDS market. We adopt a multivariate setting …-form formulae for CDS prices, and estimate the model by matching theoretical prices to their empirical counterparts. We find …
Persistent link: https://www.econbiz.de/10010357304