structural credit risk models. Using credit default swap (CDS) spreads, we find that, in the time series, average credit spreads …

derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …

trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest … impact on the pricing of CDS contracts, but a large impact on the choice of counterparties. We show that market participants … of central clearing on CDS pricing. Contrary to the previous literature, but consistent with our main findings on pricing …

of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of … interconnectedness of default factors in a dynamic fashion, and forecast the CDS curves. The extracted level factors representing long … of the network DNS model indicates that the prediction on CDS curve requires network information. …