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Does banks size distort market prices? : evidence for too-big-to-fail in the CDS market
Völz, Manja; Wedow, Michael - 2009
This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...
Persistent link: https://www.econbiz.de/10003846898
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The correlation of a firm's credit spread with its stock price : evidence from credit default swaps
Scheicher, Martin - In: Stock market volatility, (pp. 405-417). 2009
Persistent link: https://www.econbiz.de/10003830647
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Information content in CDS spreads for equity returns
Wang, Peipei; Bhar, Ramaprasad - In: Journal of international financial markets, … 30 (2014), pp. 55-80
Persistent link: https://www.econbiz.de/10011293053
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A simple robust link between American puts and credit protection
Carr, Peter; Wu, Liuren - In: The review of financial studies 24 (2011) 2, pp. 473-505
Persistent link: https://www.econbiz.de/10008934157
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Price discovery in the CDS market : evidence from corporate acquisitions
Ismailescu, Iuliana; Phillips, Blake; Xu, Xiaowei - In: The Quarterly Journal of Finance : QJF 13 (2023) 4, pp. 1-33
Persistent link: https://www.econbiz.de/10014490269
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Market expectations and default risk premium in credit default swap prices : a study of Argentine default
Zhang, Frank Xiaoling - In: The journal of fixed income 18 (2008/09) 1, pp. 37-55
Persistent link: https://www.econbiz.de/10003757570
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An empirical comparison of credit spreads between the bond market and the credit default swap market
Zhu, Haibin - In: Journal of financial services research : JFSR 29 (2006) 3, pp. 211-235
Persistent link: https://www.econbiz.de/10003328587
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Credit default swap rates and stock prices
Realdon, Marco - In: Applied financial economics letters 4 (2008) 4/6, pp. 241-248
Persistent link: https://www.econbiz.de/10003807565
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A value at risk analysis of credit default swaps
Raunig, Burkhard; Scheicher, Martin - 2008
We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...
Persistent link: https://www.econbiz.de/10003825863
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Credit default swap auctions and price discovery
Helwege, Jean; Maurer, Samuel; Sarkar, Asani; Wang, Yuan - In: The journal of fixed income 19 (2009/10) 2, pp. 34-42
Persistent link: https://www.econbiz.de/10003893439