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Default risk of advanced economies : an empirical analysis of credit default swaps during the financial crisis
Dieckmann, Stephan; Plank, Thomas - In: Review of finance : journal of the European Finance … 16 (2012) 4, pp. 903-934
Persistent link: https://www.econbiz.de/10009681995
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Valuing default swaps under market and credit risk correlation
Jarrow, Robert A.; Yildirim, Yildiray - In: The journal of fixed income 11 (2001) 4, pp. 7-19
Persistent link: https://www.econbiz.de/10001701698
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Default Risk of Advanced Economies : An Empirical Analysis of Credit Default Swaps during the Financial Crisis
Dieckmann, Stephan - 2011
the credit default swap (CDS) market on government debt of 18 advanced economies. The price of credit protection on these …
Persistent link: https://www.econbiz.de/10013133790
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Sovereign Default Risk Premia : Evidence from the Default Swap Market
Zinna, Gabriele - 2009
This study explores the risk premia embedded in sovereign default swaps using a term structure model. The risk premia remunerate investors for unexpected changes in the default intensity. A number of interesting results emerge from the analysis. First, the risk premia contribution to the spreads...
Persistent link: https://www.econbiz.de/10013153694
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Uncovering the mesoscale structure of the credit default swap market to improve portfolio risk modelling
Anagnostou, I.; Squartini, T.; Kandhai, D.; Garlaschelli, D. - In: Quantitative finance 21 (2021) 9, pp. 1501-1518
Persistent link: https://www.econbiz.de/10012624151
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The integration of the credit default swap markets during the US subprime crisis : dynamic correlation analysis
Wang, Ping; Moore, Tomoe - In: Journal of international financial markets, … 22 (2012) 1, pp. 1-15
Persistent link: https://www.econbiz.de/10009540854
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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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Liquidity tail risk and credit default swap spreads
Irresberger, Felix; Weiß, Gregor; Gabrysch, Janet; … - In: European journal of operational research : EJOR 269 (2018) 3, pp. 1137-1153
Persistent link: https://www.econbiz.de/10011866884
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An exact structural model for evaluating credit default swaps : theory and empirical evidence
Chen, Ren-Raw; Hsieh, Pei-Lin - In: The journal of fixed income : JFI 32 (2023) 3, pp. 20-48
Persistent link: https://www.econbiz.de/10014231375
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Credit default swaps, the leverage effect, and cross-sectional predictability of equity and firm asset volatility
Forte, Santiago; Lovreta, Lidija - In: The journal of corporate finance : contracting, … 79 (2023), pp. 1-33
Persistent link: https://www.econbiz.de/10014250993