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The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881

Persistent link: https://www.econbiz.de/10009529136

The stock price of the introduction of exchange-traded credit derivatives

Schwartz, Lisa A.; Stowe, Kristin; Tarrant, Wayne - In: Applied financial economics 23 (2013) 19/21, pp. 1531-1539

Persistent link: https://www.econbiz.de/10010259361

The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap (CDS) index we extract risk-neutral probabilities of default (PDs) and physical asset return correlations from single-name CDS spreads. The time profile and overall level of...

Persistent link: https://www.econbiz.de/10003721579

Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors

Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013273142

Extendible stock loan

Wu, Wei-Hwa - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-12

Persistent link: https://www.econbiz.de/10013188336

The economic significance of CDS price discovery

Xiang, Vincent; Chng, Michael T.; Fang, Victor - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011796591

The relative efficiency of investment grade credit and equity markets

Procasky, William J. - In: International Journal of Financial Markets and … 9 (2023) 1/2, pp. 43-58

Persistent link: https://www.econbiz.de/10014311699

Bank private information in CDS markets

Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023

European Market Infrastructure Regulation (EMIR) with syndicated loans from DealScan, and compare the prices on similar CDSs …

Persistent link: https://www.econbiz.de/10014315233

Time-varying credit risk discovery in the stock and CDS markets : evidence from quiet and crisis times

Forte, Santiago; Lovreta, Lidija - In: European financial management : the journal of the … 21 (2015) 3, pp. 430-461

Persistent link: https://www.econbiz.de/10011317998

Estimation of default risk through Merton's distance to default model : an empirical study of four Indian Public Sector banks

Bendigeri, Raghavendra S. - In: International journal of business and globalisation : IJBG 37 (2024) 4, pp. 535-554

Persistent link: https://www.econbiz.de/10015063989

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