The availability of credit insurance via credit default swaps (CDSs) has been closely associated with the emergence of empty creditors. We empirically investigate this issue by looking at the debt restructurings (distressed exchanges and bankruptcy filings) of rated, non-financial U.S. companies...

We present a stochastic default intensity model where the intensity process is specified by a deterministic time change of an inverse Gaussian Ornstein-Uhlenbeck process. The model is tractable and allows evaluation of the building blocks necessary to pricing credit derivatives. Finally, we fit...

Credit default swaps (CDSs) contributed significantly to and exacerbated the recent global financial crisis. As a result of the major role that CDSs played, this paper argues that CDS issuers should be subject to prudential regulation, in order to improve systemic stability in the financial...

This paper provides the first empirical evidence of the externalities of credit default swaps (CDS). We find that a firm's leverage is lower when a larger proportion of its revenue is derived from CDS-referenced customers. This finding is robust to alternative samples and measures, placebo...

This paper shows that credit default swaps (CDS) can affect the type of debt firms issue. Firms face a trade-off between investment scale and the cost of capital measured by the credit spread. Small-scale investment is safe, fully collateralized, but earns modest profits in all states....