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Pricing Default Events : Surprise, Exogeneity and Contagion
Gourieroux, Christian - 2013
In order to derive closed-form expressions of the prices of credit derivatives, standard credit-risk models typically price the default intensities, but not the default events themselves. The default indicator is replaced by an appropriate prediction and the prediction error, that is the...
Persistent link: https://www.econbiz.de/10013074161
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A Value at Risk Analysis of Credit Default Swaps
Raunig, Burkhard - 2016
We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...
Persistent link: https://www.econbiz.de/10012989272
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Pricing Default Risk : The Good, The Bad, and The Anomaly
Ferreira Filipe, Sara - 2016
While empirical literature has documented a negative relation between default risk and stock returns, theory suggests that default risk should be positively priced. In this paper, we calculate monthly probabilities of default (PDs) for a large sample of European firms and break them down into...
Persistent link: https://www.econbiz.de/10013006759
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Stock liquidity and default risk around the world
Nadarajah, Sivathaasan - 2020
We document the negative effect of stock liquidity on default risk for a sample of 46 countries. We further find that … shock that increases liquidity. The effect of liquidity on default risk is more pronounced in countries with poorer investor … impact of stock liquidity on default risk in international markets …
Persistent link: https://www.econbiz.de/10012854783
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A 'Wreckers Theory' of Financial Distress
von Kalckreuth, Ulf - 2016
In recent years, a number of papers have established a new empirical regularity. Stocks of distressed firms vastly underperform those of financially healthy firms. It is not necessary to attribute the negative excess returns of distressed firms to inefficient or irrational markets. We show that...
Persistent link: https://www.econbiz.de/10012991210
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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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Does the trading volume of asset management companies' bonds contain information on non-performing loans?
Pirgaip, Burak; Uysal, Aydın - In: Borsa Istanbul Review 22 (2022) 3, pp. 426-440
We investigate the relationship between the transactional activity of asset management companies (AMCs) in the non-performing loan (NPL) market and their corresponding debt issuances in a niche bond market in Borsa Istanbul. We analyze the determinants of the trading volume of AMC bonds to...
Persistent link: https://www.econbiz.de/10013334760
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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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The reception of public signals in financial markets : what if central bank communication becomes stale?
Ehrmann, Michael; Sondermann, David - 2009
How do financial markets price new information? This paper analyzes price setting at the intersection of private and public information, by testing whether and how the reaction of financial markets to public signals depends on the relative importance of private information in agents’...
Persistent link: https://www.econbiz.de/10003963731
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Not so fast : high-frequency financial data for macroeconomic event studies
Ozdagli, Ali - 2013
Over the last decade, it has become increasingly popular to use event studies with intraday asset pricing data to study the effect of macroeconomic events on the economy. The proponents of this approach argue that asset prices react to macroeconomic events very quickly and that if we know the...
Persistent link: https://www.econbiz.de/10010236186