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Credit contagion from counterparty risk
Jorion, Philippe; Zhang, Gaiyan - In: The journal of finance : the journal of the American … 64 (2009) 5, pp. 2053-2087
Persistent link: https://www.econbiz.de/10003899586
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The credit default swap market and the settlement of large defaults
Coudert, Virginie; Gex, Mathieu - In: International economics : a journal published by CEPII … 123 (2010) 3, pp. 91-120
Persistent link: https://www.econbiz.de/10008902602
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Counterparty risk for CDS : default clustering effects
Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42
Persistent link: https://www.econbiz.de/10011377294
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Credit default swaps as indicators of bank financial distress
Avino, Davide; Conlon, Thomas; Cotter, John - 2016
Persistent link: https://www.econbiz.de/10011502511
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Distressed debt restructuring in the presence of credit default swaps
Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: Journal of money, credit and banking : JMCB 48 (2016) 1, pp. 165-201
Persistent link: https://www.econbiz.de/10011516515
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Are credit default swaps "credit default insurances"?
Schmaltz, Christian; Thivaios, Periklis - In: The journal of applied business research 30 (2014) 6, pp. 1819-1830
Persistent link: https://www.econbiz.de/10010470471
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Do correlated defaults matter for CDS premia? : an empirical analysis
Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014
Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...
Persistent link: https://www.econbiz.de/10010405475
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The credit default swap market and the settlement of large defaults
Coudert, Virginie; Gex, Mathieu - 2010
Persistent link: https://www.econbiz.de/10008748212
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Do correlated defaults matter for CDS premia?
Koziol, Christian; Koziol, Philipp; Schön, Thomas - In: Review of derivatives research 18 (2015) 3, pp. 191-224
Persistent link: https://www.econbiz.de/10011477301
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Extraction of implied default probabilites and expected recovery values from a combination of bond prices and CDS spreads
Shynkevich, Andrei - In: The journal of fixed income 23 (2014) 3, pp. 91-102
Persistent link: https://www.econbiz.de/10010388886