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Do Correlated Defaults Matter for CDS Premia? An Empirical Analysis
Koziol, Christian - 2016
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/10012988732
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Systemic default and return predictability in the stock and bond markets
Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016
Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...
Persistent link: https://www.econbiz.de/10011810905
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Inside the Emerging Markets Risky Spreads and Credit Default Swap - Sovereign Bonds Basis
Yordanov, Vilimir - 2018
The paper considers a no-arbitrage setting for pricing and relative value analysis of risky sovereign bonds. The typical case of an emerging market country (EM) that has bonds outstanding both in foreign hard currency (Eurobonds) and local soft currency (treasuries) is inspected. The resulting...
Persistent link: https://www.econbiz.de/10012937615
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Central clearing and collateral demand
Duffie, Darrell; Scheicher, Martin; Vuillemey, Guillaume - 2014
Persistent link: https://www.econbiz.de/10010380081
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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …
Persistent link: https://www.econbiz.de/10012458774
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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …
Persistent link: https://www.econbiz.de/10013059087
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Central Clearing and Collateral Demand
Duffie, Darrell - 2014
demand of new margin and clearing practices and regulations. We decompose collateral demand for both customers and dealers … impact on collateral demand of more widespread initial margin requirements, increased novation of CDS to central clearing …-specialized types, and client clearing. Among other results, we show that system-wide collateral demand is increased significantly by …
Persistent link: https://www.econbiz.de/10013059582
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Trading the bond-CDS basis : the role of credit risk and liquidity
Gehde-Trapp, Monika - 2009
We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them to repeatedly earn the difference between the bond...
Persistent link: https://www.econbiz.de/10003919401
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Financial Oligopolies : Theory and Empirical Evidence in the Credit Default Swap Markets
Kryzanowski, Lawrence - 2017
We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...
Persistent link: https://www.econbiz.de/10012974399
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Financial Oligopolies : Theory and Empirical Evidence in the Credit Default Swap Markets
Kryzanowski, Lawrence - 2017
We formulate a Cournot-type market equilibrium model of simultaneous trading in the CDS and Loan CDS (LCDS) markets. We use novel formulations of two-market demand functions that include trading costs and margins. The equilibrium identifies a relation between premiums, elasticities and recovery...
Persistent link: https://www.econbiz.de/10012943722