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Price discovery limits in the credit default swap market in the financial crisis

Pavlov, Andrey D.; Schwartz, Eduardo; Wachter, Susan M. - In: The journal of real estate finance and economics 62 (2021) 2, pp. 165-186

Persistent link: https://www.econbiz.de/10012428390

Dark knights : the rise in firm intervention by credit default swap investors

Danis, András; Gamba, Andrea - In: Management science : journal of the Institute for … 70 (2024) 2, pp. 952-970

Persistent link: https://www.econbiz.de/10014513864

Credit Default Swaps und Informationsgehalt

Wagner, Eva - 2008

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … Kreditderivate-Marktes ist der Credit Default Swap. Eva Wagner stellt den Informationsgehalt von Credit Default Swap (CDS) dem … anderer etablierter Märkte, auf denen das Kreditrisiko relevant ist, sowie dem des externen Rating gegenüber. Sie zeigt …

Persistent link: https://www.econbiz.de/10013517112

How credit default swaps affect risk-shifting

Park, Dojoon; Lee, Jiyoon; Chanatip Kitwiwattanachai - In: Journal of economic development 48 (2023) 4, pp. 93-115

Persistent link: https://www.econbiz.de/10014487594

Bank loan renegotiation and credit default swaps

Clark, Brian; Donato, James; Francis, Bill B.; Shohfi, … - In: Journal of banking & finance 151 (2023), pp. 1-19

Persistent link: https://www.econbiz.de/10014463074

Pricing of Credit Default Swaps During Distress.

Andritzky, Jochen R - 2006

Intro -- Contents -- I. INTRODUCTION -- II. CDS VALUATION AND THE BASIS -- III. THE ROLE OF RECOVERY -- IV. DATA ANALYSIS -- V. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE -- VI. IMPLIED RECOVERY VALUES UNDER NO ARBITRAGE WITH CTD -- VII. CONCLUSIONS -- REFERENCES.

Persistent link: https://www.econbiz.de/10012691130

The impact of CDX spreads on individual credit default swap contracts

Davaadorj, Zagdbazar - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 35-46

Persistent link: https://www.econbiz.de/10015064459

Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics

Jönsson, Henrik - 2010

In this paper we discuss the pricing of Constant Maturity Credit Default Swaps (CMCDS) under single sided jump models. The CMCDS offers default protection in exchange for a floating premium which is periodically reset and indexed to the market spread on a CDS with constant maturity tenor written...

Persistent link: https://www.econbiz.de/10013141953

Credit default swaps around the world

Bartram, Söhnke M.; Conrad, Jennifer S.; Lee, Jongsub; … - 2021

Persistent link: https://www.econbiz.de/10012415709

Credit Default Swaps und Informationsgehalt

Wagner, Eva - 2008 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003722063