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The network structure of the CDS market and its determinants

Peltonen, Tuomo; Scheicher, Martin; Vuillemey, Guillaume - In: Journal of financial stability 13 (2014), pp. 118-133

Persistent link: https://www.econbiz.de/10011288870

Counterparty risk for CDS : default clustering effects

Bo, Lijun; Capponi, Agostino - In: Journal of banking & finance 52 (2015), pp. 29-42

Persistent link: https://www.econbiz.de/10011377294

The role of a changing market environment for credit default swap pricing

Leppin, Julian S.; Reitz, Stefan - 2014

This paper investigates the impact of a changing market environment on the pricing of CDS spreads written on debt from EURO STOXX 50 firms. A Panel Smooth Transition Regression reveals that parameter estimates of standard CDS fundamentals are time-varying depending on current values of a set of...

Persistent link: https://www.econbiz.de/10010384174

The role of a changing market : environment for credit default swap pricing

Leppin, Julian S.; Reitz, Stefan - 2014 - This version: July 2014

Persistent link: https://www.econbiz.de/10010384565

Credit default swaps as indicators of bank financial distress

Avino, Davide; Conlon, Thomas; Cotter, John - 2016

Persistent link: https://www.econbiz.de/10011502511

Distressed debt restructuring in the presence of credit default swaps

Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: Journal of money, credit and banking : JMCB 48 (2016) 1, pp. 165-201

Persistent link: https://www.econbiz.de/10011516515

The role of a changing market environment for credit default swap pricing

Leppin, Julian Sebastian; Reitz, Stefan - In: International journal of finance & economics : IJFE 21 (2016) 3, pp. 209-223

Persistent link: https://www.econbiz.de/10011560274

Are credit default swaps "credit default insurances"?

Schmaltz, Christian; Thivaios, Periklis - In: The journal of applied business research 30 (2014) 6, pp. 1819-1830

Persistent link: https://www.econbiz.de/10010470471

CDS as insurance : leaky lifeboats in stormy seas

Stephens, Eric; Thompson, James R. - In: Journal of financial intermediation 23 (2014) 3, pp. 279-299

Persistent link: https://www.econbiz.de/10010473450

Koziol, Christian; Koziol, Philipp; Schön, Thomas - 2014

Correlated defaults and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence whether correlated defaults are also present in the underlying CDS market. We develop a cash flow based top-down...

Persistent link: https://www.econbiz.de/10010405475