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Credit Default Swaps

Bomfim, Antulio N. - 2022

Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the …

Persistent link: https://www.econbiz.de/10013289298

Credit default swaps : a primer and some recent trends

Lando, David - In: Annual review of financial economics 12 (2020), pp. 177-192

Persistent link: https://www.econbiz.de/10012404625

Debt collateralization, structured finance, and the CDS basis

Gong, Feixue; Phelan, Gregory - 2019 - This version: September 30, 2019

Persistent link: https://www.econbiz.de/10012116456

Understanding transactions prices in the credit default swaps market

Tang, Dragon Yongjun; Yan, Hong - In: Journal of financial markets 32 (2017), pp. 1-27

Persistent link: https://www.econbiz.de/10011814976

Counterparty risk and counterparty choice in the credit default swap market

Du, Wenxin; Gadgil, Salil; Gordy, Michael B.; Vega, Clara - 2016

We investigate how market participants price and manage counterparty risk in the post-crisis period using confidential trade repository data on single-name credit default swap (CDS) transactions. We find that counterparty risk has a modest impact on the pricing of CDS contracts, but a large...

Persistent link: https://www.econbiz.de/10011578787

Pricing-hedging duality for credit default swaps and the negative basis arbitrage

Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10012153067

Explaining co-movements between equity and CDS bid-ask spreads

Marra, Miriam - In: Review of quantitative finance and accounting 49 (2017) 3, pp. 811-853

Persistent link: https://www.econbiz.de/10011797542

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

Credit Default Swaps und Informationsgehalt

Wagner, Eva - 2008

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi zienz -- Asymmetrische Informationsverteilung am CDS-Markt -- CDS-, Anleihe- und Aktienmarkt -- Empirische Untersuchung zum Zusammenhang des CDS— und Aktienmarktes sowie zur...

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

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049