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Are CDS spreads sensitive to the term structure of the yield curve? : a sector-wise analysis under various market conditions

Aman, Asia - In: Journal of risk and financial management : JRFM 12 (2019) 4/158, pp. 1-13

This study examines the impact of changes in the yield curve factors on the Credit Default Swap (CDS) spreads of the U.S. industrial sectors. Stock returns and the crude oil-based volatility index are used in a quantile regression framework to test the validity of Merton’s model. The results...

Persistent link: https://www.econbiz.de/10012172992

The empirical determinants of credit default swap spreads : a quantile regression approach

Pires, Pedro; Pereira, João Pedro; Martins, Luís Filipe - In: European financial management : the journal of the … 21 (2015) 3, pp. 556-589

Persistent link: https://www.econbiz.de/10011317990

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

Spread risk premia in corporate credit default swap markets

Entrop, Oliver; Schiemert, Richard; Wilkens, Marco - In: Credit and capital markets : Kredit und Kapital 47 (2014) 4, pp. 571-610

Persistent link: https://www.econbiz.de/10010477424

Current and prospective estimate of counterparty risk through dynamic neural networks

Agnese, Alessio; Giribone, Pier Giuseppe; Querci, Francesca - In: Risk management magazine 17 (2022) 2, pp. 42-61

The estimate of the probability of default plays a central role for any financial entity that wants to have an overview of the risks of insolvency it may incur by having economic relations with counterparties. This study aims to analyze the calculation of such measure in the context of...

Persistent link: https://www.econbiz.de/10013501084