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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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Debt collateralization, structured finance, and the CDS basis
Gong, Feixue; Phelan, Gregory - 2019 - This version: September 30, 2019
Persistent link: https://www.econbiz.de/10012116456
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - 2021
Persistent link: https://www.econbiz.de/10012614604
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - In: Review of finance : journal of the European Finance … 25 (2021) 6, pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401
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Pricing structured products with economic covariates
Choi, Yong Seok; Doshi, Hitesh; Jacobs, Kris; Turnbull, … - In: Journal of financial economics 135 (2020) 3, pp. 754-773
Persistent link: https://www.econbiz.de/10012543222
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Explaining aggregate credit default swap spreads
Breitenfellner, Bastian; Wagner, Niklas F. - In: International review of financial analysis 22 (2012), pp. 18-29
Persistent link: https://www.econbiz.de/10010219703
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Analysis of Lithuanian credit default swaps
Kregzde, Arvydas; Murauskas, Gediminas - In: Journal of business economics and management 16 (2015) 5, pp. 916-930
Persistent link: https://www.econbiz.de/10011386659
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Modeling CDS spreads : a comparison of some hybrid approaches
Ballestra, Luca Vincenzo; Pacelli, Graziella; Radi, Davide - In: Journal of empirical finance 57 (2020), pp. 107-124
Persistent link: https://www.econbiz.de/10012430444
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The reward for trading illiquid maturities in credit default swap markets
Arakelyan, Armen; Rubio, Gonzalo; Serrano, Pedro - In: International review of economics & finance : IREF 39 (2015), pp. 376-389
Persistent link: https://www.econbiz.de/10011572470
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Can structural models price default risk? : evidence from bond and credit derivative markets
Ericsson, Jan; Reneby, Joel; Wang, Hao - In: The quarterly journal of finance 5 (2015) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011381483