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Municipal bond markets
Cestau, Dario; Hollifield, Burton; Li, Dan; Schürhoff, … - 2018
largest capital market for state and municipal issuers. Prior research has documented tax, credit, liquidity, and segmentation … effects in municipal bonds. Recent regulatory initiatives to improve transparency have made granular trade data available to …
Persistent link: https://www.econbiz.de/10011938223
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True cost of immediacy
Hendershott, Terrence; Li, Dan; Livdan, Dmitry; … - 2020
Traditional liquidity measures can provide a false impression of the liquidity and stability of financial market … show that a standard measure of liquidity, the effective bid-ask spread, dramatically underestimates the true cost of … immediacy because it does not account for failed attempts to trade. The true cost of immediacy is substantially higher than the …
Persistent link: https://www.econbiz.de/10012271211
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Sovereign risk and the pricing of corporate credit default swaps
Haerri, Matthias; Morkoetter, Stefan; Westerfeld, Simone - 2014
Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default swaps (CDS) are positively correlated with corresponding corporate CDS spreads and are a significant...
Persistent link: https://www.econbiz.de/10011343850
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Pandemic Exposure, Credit Market Reactions, and Corporate Default Risk
Imerman, Michael B.; Ye, Xiaoxia; Zhao, Ran - 2021
We develop a theoretical model quantifying how firm-level pandemic exposure and sentiment, as informational shocks, affect a firm’s credit spread and default risk. Consistent with model predictions, we find significantly positive impacts on single-name credit default swap (CDS) spreads from...
Persistent link: https://www.econbiz.de/10013225671
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Debt Correlations in the Wake of the Financial Crisis : What are Appropriate Default Correlations for Structured Products?
Griffin, John M. - 2016
This paper proposes several frameworks to estimate the appropriate default correlations for structured products, each of which jointly considers the role of co-movements in modeled risk characteristics and un-modeled systematic risk, or 'frailty'. We contrast our estimates with credit rating...
Persistent link: https://www.econbiz.de/10013005640
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Modeling default dependence with threshold models
Overbeck, Ludger; Schmidt, Wolfgang M. - 2003
We investigate the problem of modeling defaults of dependent credits. In the framework of the class of structural default models we study threshold models where for each credit the underling ability-to-pay process is a transformation of a Wiener processes. We propose a model for dependent...
Persistent link: https://www.econbiz.de/10003853455
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Collateral-Enhanced Default Risk
Kenyon, Chris - 2013
Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between Merton-type and Black-Cox-type structural default models. Our...
Persistent link: https://www.econbiz.de/10013087656
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The Valuation of Credit Default Swap with Counterparty Risk and Collateralization
Xiao, Tim - 2019
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most...
Persistent link: https://www.econbiz.de/10012864846
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The Impact of Default Dependency and Collateralization on Asset Pricing and Credit Risk Modeling
Xiao, Tim - 2015
This article presents a comprehensive framework for valuing financial instruments subject to credit risk and collateralization. In particular, we focus on the impact of default dependence on asset pricing, as correlated default risk is one of the most pervasive threats to financial markets. Some...
Persistent link: https://www.econbiz.de/10013035565
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Healthy... Distress... Default
Kakushadze, Zura - 2019
We discuss a simple, exactly solvable model of stochastic stock dynamics that incorporates regime switching between healthy and distressed regimes. Using this model, which is analytically tractable, we discuss a way of extracting expected returns for stocks from realized CDS spreads,...
Persistent link: https://www.econbiz.de/10012863946