. Unlike the surge in the use of credit derivative instruments by banks in other countries, Australian banks preferred less use … of derivative instruments because of their complexity, liquidity issues, and other cultural reasons etc. A credit … derivative is a security/contract that allows investors to transfer credit risk to other investors who are willing to take it …

While credit risk transfer market dramatically increases the complexity of lender's incentive structure and above all … motivate the bank to effectively monitor in the presence of the credit risk transfer market alleviating borrower's shirking … buyer) could implicitly collude has important bankruptcy related implications. We show that when the credit derivatives …

This study extends the generalized Ho–Lee model to the credit derivative swap (CDS) curve movements that ensures the … limited to pricing the interest contingent claims. The Ho–Lee model can be equally applicable to pricing the credit contingent … claims. This model can value a broad range of credit contingent claims. These credit contingent claims include the American …

across credit, option, and equity markets. Our consumption-based equilibrium model captures the empirical level and … volatility of credit spreads, generates a flexible credit term structure and provides a good fi t to a century of observed … bond and equity market returns. Our model reveals a dynamic relationship between credit and option markets that helps …

We examine the effect of credit default swap (CDS) trading on firm investment, finding a post-CDS introduction decrease … in credit supply due to a reduction of strategic default or regulatory capital requirement appears less important …

This paper examines the use of credit derivatives by US bank holding companies from 1999 to 2003 with assets in excess … only 19 large banks out of 345 use credit derivatives. Though few banks use credit derivatives, the assets of these banks … buyers of credit protection and disclose using credit derivatives to hedge loans. Banks are more likely to be net protection …

effects on financial market function and credit provision. While the hedge fund-prime broker credit network is highly … concentrated, the average hedge fund in our sample borrows from three prime brokers and has a total credit exposure of $2 … major creditor. Such a shock results in significantly reduced borrowing due to the prime broker reducing credit supply …