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The relationship between credit default swap and cost of equity capital
Barone-Adesi, Giovanni; Brughelli, Moreno - 2010
We want to assess the relationship between the equity and the debt cost of capital. Using a very simple dividend discount model we compute the implied discount rate and we compare it with the corresponding premium on the corporate credit default swap using a cointegration approach. We...
Persistent link: https://www.econbiz.de/10008797690
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The impacts of financial crisis on sovereign credit risk analysis in Asia and Europe
Zhang, Min; Kolkiewicz, Adam W.; Wirjanto, Tony S.; Li, … - In: International journal of financial engineering 2 (2015) 3, pp. 1-57
Persistent link: https://www.econbiz.de/10011403191
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Explaining credit default swap premia
Benkert, Christoph - In: The journal of futures markets 24 (2004) 1, pp. 71-92
Persistent link: https://www.econbiz.de/10001850815
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An empirical comparison of credit spreads between the bond market and the credit default swap market
Zhu, Haibin - 2004
Persistent link: https://www.econbiz.de/10002190130
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Risikoprämien im Fixed Income-Markt : eine empirische Analyse von Festsatzanleihen, Floatern und Credit Default Swaps
Heidorn, Thomas; Kantwill, Jens - In: Finanz-Betrieb : FB ; Zeitschrift für … 6 (2004) 2, pp. 130-134
Persistent link: https://www.econbiz.de/10001977783
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Explaining credit default swap spreads with equity volatility and jump risks of individual firms
Zhang, Benjamin Yibin; Zhou, Hao; Zhu, Haibin - 2005
Persistent link: https://www.econbiz.de/10003113897
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Are European corporate bond and default swap markets segmented?
Cossin, Didier (contributor); Lu, Hongze (contributor) - 2005
Persistent link: https://www.econbiz.de/10002635508
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Risikoaversion und Risikoprämien am CDS-Markt
Amato, Jeffrey D. - In: BIZ-Quartalsbericht (2005), pp. 63-78
Persistent link: https://www.econbiz.de/10003283922