CDS market. We develop a cash flow based top-down approach for modeling CDSs from which we can derive the following major … contributions: (I) Correlated defaults did not matter for CDS prices prior to the financial crisis in 2008. During and after the … correlated defaults primarily impact the CDS prices of firms with an overall low CDS level. (III) Idiosyncratic risk factors for …

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors'' as hedged creditors have less … the bankruptcy code in Germany, that effectively removes their potential impact on CDS firms. Using a unique dataset on … bank-firm CDS net notional and credit exposures we find that the probability of default for firms with CDS traded on them …

Firms with credit-default swaps (CDS) traded on their debt may face "empty creditors" as hedged creditors have less … the bankruptcy code in Germany that effectively removes their potential impact on CDS firms. Using a unique dataset on … bank-firm CDS net notional and credit exposures we find that the probability of default for CDS firms drops when the effect …

(CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a … significant increase in U.S. CDS trading activity and positions, accompanied by a spike in CDS premiums. We estimate an increase … in part to the cheapening of deliverable Treasury collateral to CDS contracts. …

evidence confirms that more CDS insurance is written on firms with strong shareholders and that CDSs increase the bankruptcy …

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 too-big-to-fail. A one percentage point increase in size reduces the CDS …