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Recovery Risk in Credit Default Swap Premia
Schläfer, Timo - 2011
implements his approach using credit default swap data …
Persistent link: https://www.econbiz.de/10014015311
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Recovery risk in credit default swap premia
Schläfer, Timo - 2011 - 1. ed.
Persistent link: https://www.econbiz.de/10008991625
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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
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Are banks different? : evidence form the CDS market
Raunig, Burkhard; Scheicher, Martin - 2009
Persistent link: https://www.econbiz.de/10003810904
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Macro risk factors of credit default swap indices in a regime-switching framework
Kam Fong Chan; Marsden, Alastair - In: Journal of international financial markets, … 29 (2014), pp. 285-308
Persistent link: https://www.econbiz.de/10010412144
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Sovereign bond spreads and credit default swap premia : cointegration and causality
Martín García, Margarita; Téllez, Cecilia; Martín … - In: Investment management and financial innovations 11 (2014) 2, pp. 47-59
Persistent link: https://www.econbiz.de/10010392834
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Credit Default Swap & Variance Risk Premia
Zgolli, Ghada - 2012
. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory … explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there … important determinants of credit default swap premia, as predicted by theory …
Persistent link: https://www.econbiz.de/10013096403
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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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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 …
Persistent link: https://www.econbiz.de/10013008411
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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