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Credit default swaps
Bomfim, Antúlio N. - 2022 - This draft: March 4, 2022
Persistent link: https://www.econbiz.de/10013332772
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Credit default swaps
Bomfim, Antúlio N. - In: Research handbook of financial markets, (pp. 429-450). 2023
Persistent link: https://www.econbiz.de/10014331088
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Why do banks use credit default swaps (CDS)? : a systematic review
Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231
Persistent link: https://www.econbiz.de/10014474357
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Bilateral counterparty risk valuation of CDS contracts with simultaneous defaults
Teng, Long; Ehrhardt, Matthias; Günther, Michael - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233305
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Arbitrage-free bilateral counterparty risk valuation under collateralization and application to credit default swaps
Brigo, Damiano; Capponi, Agostino; Pallavicini, Andrea - In: Mathematical finance : an international journal of … 24 (2014) 1, pp. 125-146
Persistent link: https://www.econbiz.de/10010256178
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Contingent credit default swaps: accurate and approximate pricing
Koziol, Christian; Schön, Thomas - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 75-95
Persistent link: https://www.econbiz.de/10011566278
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The integration of credit default swap markets in the pre and post-subprime crisis in common stochastic trends
Chen, Cathy Yi-hsuan; Härdle, Wolfgang; Thu, Hien Pham - 2014
It was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis …
Persistent link: https://www.econbiz.de/10010399421
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Do correlated defaults matter for CDS premia? : an empirical analysis
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
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Hedging stock sector risk with credit default swaps
Ratner, Mitchell; Chiu, Chih-Chieh - In: International review of financial analysis 30 (2013), pp. 18-25
Persistent link: https://www.econbiz.de/10010460003
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Modelling the bid and ask prices of illiquid CDSs
Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37
Persistent link: https://www.econbiz.de/10009672590