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Liquidity and pricing of credit default swaps in Japan : evidence from a benchmark index for corporate debt claims
Inaba, Kei-Ichiro - In: Journal of financial services research : JFSR 54 (2018) 1, pp. 111-143
Persistent link: https://www.econbiz.de/10012024963
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Extendible stock loan
Wu, Wei-Hwa - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10013188336
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Stock price default boundary : a Black-Cox model approach
Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11
Persistent link: https://www.econbiz.de/10013455157
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Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks
Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554
Persistent link: https://www.econbiz.de/10015063989
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Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?
Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167
This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...
Persistent link: https://www.econbiz.de/10010373349
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Contagion effects of permissionless, worthless cryptocurrency tokens : evidence from the collapse of FTX
Conlon, Thomas; Corbet, Shaen; Hou, Yang - In: Journal of international financial markets, … 91 (2024), pp. 1-20
Persistent link: https://www.econbiz.de/10014494828
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Financial distress announcements, transaction mode change, and aggregate shareholder wealth : empirical evidence from TAIEX-listed companies
Yen, Gi-li; Li, Jian-fa - In: Review of Pacific Basin financial markets and policies 13 (2010) 1, pp. 19-43
Persistent link: https://www.econbiz.de/10008857210
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Futures-friendly derivatives : a fix for the over-the-counter derivatives mess
Dew, James Kurt - In: International journal of financial innovation in … 1 (2016) 1/2, pp. 99-108
Persistent link: https://www.econbiz.de/10011668562
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The impact of a dealer's failure on OTC derivatives market liquidity during volatile periods
Wall, Larry D.; Tallman, Ellis W.; Abken, Peter A. - 1996
Persistent link: https://www.econbiz.de/10000946462
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Liquidity Tail Risk and Credit Default Swap Spreads
Irresberger, Felix - 2018
We show that liquidity tail risk in credit default swap (CDS) spreads is time-varying and explains variation in CDS … spreads. We capture the liquidity tail risk of a CDS contract written on a firm by estimating the tail dependence, i.e., the … extreme downwards movements in the liquidity of individual CDS contracts and the CDS market. This effect holds in various …
Persistent link: https://www.econbiz.de/10012936557