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Forecasting credit default swap premiums with Google search volume

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 52-85). 2016

Persistent link: https://www.econbiz.de/10011733592

Extracting implied volatilities from bank bonds

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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

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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

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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

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Spread Risk Premia in Corporate Credit Default Swap Markets

Entrop, Oliver - 2016

The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection … demand a positive premium for such mark-to-market risks. After controlling for CDS market conditions, like liquidity and …

Persistent link: https://www.econbiz.de/10013008411

Pricing default events : surprise, exogeneity and contagion

Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411

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Investor sentiment, flight-to-quality, and corporate bond comovement

Bethke, Sebastian - In: Essays on the determinants of corporate bond yield spreads, (pp. 9-51). 2016

Persistent link: https://www.econbiz.de/10011733591

Cross-market liquidity and dealer profitability : evidence from the bond and CDS markets

Aramonte, Sirio; Szerszeń, Paweł J. - In: Journal of financial markets 51 (2020), pp. 1-22

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Hedging stock sector risk with credit default swaps

Ratner, Mitchell; Chiu, Chih-Chieh - In: International review of financial analysis 30 (2013), pp. 18-25

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