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An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps

Blanco, Roberto; Brennan, Simon; Marsh, Ian - 2004

Persistent link: https://www.econbiz.de/10001910274

An empirical analysis of the dynamics relationship between investment-grade bonds and credit default swaps

Blanco, Roberto (contributor); Brennan, Simon (contributor); … - 2003

Persistent link: https://www.econbiz.de/10001926488

An empirical analysis of the dynamic relationship between investment-grade bonds and credit default swaps

Blanco, Roberto; Brennan, Simon; Marsh, Ian - 2004

"In this paper the behaviour of credit default swaps (CDS) are analysed for a sample of firms and support found for the theoretical equivalence of CDS prices and credit spreads. When this is violated, the CDS price can be viewed as an upper bound on the price of credit risk, while the spread...

Persistent link: https://www.econbiz.de/10001932407

An empirical analysis of the dynamic relation between investment-grade bonds and credit default swaps

Blanco, Roberto; Brennan, Simon; Marsh, Ian - In: The journal of finance : the journal of the American … 60 (2005) 5, pp. 2255-2282

Persistent link: https://www.econbiz.de/10003159335

Are all credit default swap databases equal?

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: European financial management : the journal of the … 20 (2014) 4, pp. 677-713

Persistent link: https://www.econbiz.de/10010503546

The impact of the 2011 short-sale ban on financial stability : evidence from the Spanish stock market

Arce, Óscar; Mayordomo, Sergio - In: European financial management : the journal of the … 22 (2016) 5, pp. 1001-1022

Persistent link: https://www.econbiz.de/10011713407

Dealing with dealers : sovereign CDS comovements

Antón, Miguel; Mayordomo, Sergio; Rodríguez-Moreno, María - 2017

Persistent link: https://www.econbiz.de/10011786331

Short-sale constraints and financial stability : evidence from the Spanish market

Arce, Óscar; Mayordomo, Sergio - 2014

Persistent link: https://www.econbiz.de/10011789070

Dealing with dealers : sovereign CDS comovements

Gómez de Antonio, Miguel; Mayordomo, Sergio; … - In: Journal of banking & finance 90 (2018), pp. 96-112

Persistent link: https://www.econbiz.de/10011963451

The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881

Persistent link: https://www.econbiz.de/10009529136