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Credit Default Swap (CDS) spreads : the analysis of time series for the integration with the interest rates and the growth in Turkish economy
Kargi, Bilal - 2014
This text is for the relation between credit default swap (CDS) spreads and some chosen macro economic data in Turkish … economy. Credit default swap spread as an insurance spread is the most important sign for the solvency of the debitors in that … default swap spreads have become a kind of reliability index. Moreover, they have become an information source about the …
Persistent link: https://www.econbiz.de/10010381990
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Essays on credit risk and credit derivatives
Bajlum, Claus - 2008
Persistent link: https://www.econbiz.de/10003761742
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Riding the yield curve : a variety of strategies
Bieri, David S.; Chincarni, Ludwig B. - In: The journal of fixed income 15 (2005) 2, pp. 6-35
Persistent link: https://www.econbiz.de/10003229842
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Securitization and financial markets : the implications for interest rate pass-through
Robertson, Mari L. - In: Journal of financial economic policy 8 (2016) 4, pp. 472-498
Persistent link: https://www.econbiz.de/10011697839
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The behavior of interest rates and credit flows : persistence and cycles
Busch, Ulrike - 2011
Persistent link: https://www.econbiz.de/10009490397
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Heterogene Erwartungen auf dem Geldmarkt
Trosky, Frank - 2006
Persistent link: https://www.econbiz.de/10003357508
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Extracting market expectations from yield curves augmented by money market interest rates : the case of Japan
Nagano, Teppei; Baba, Naohiko - 2008
March 2006. We use (i) the swap yield curves augmented by OIS interest rates (OIS/Swap), and (ii) the JGB yield curve … for each factor between OIS/Swap and FBTB/JGB, and find that the former has a more dominant role of price discovery for …
Persistent link: https://www.econbiz.de/10003826016
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Time series models for credit default swap premiums
Eifert, Márton - In: The journal of credit risk : published quarterly by … 11 (2015) 3, pp. 21-44
Persistent link: https://www.econbiz.de/10011380101
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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis …
Persistent link: https://www.econbiz.de/10010399421