Similar Search Results

An analysis of CDS transactions : implications for public reporting

Chen, Kathryn; Fleming, Michael J.; Jackson, John; Li, Ada - 2011

scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap … (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find … that trading activity in the CDS market is relatively low, with a majority of reference entities for single-name CDS …

Persistent link: https://www.econbiz.de/10009347979

Default Option Exercise Over the Financial Crisis and Beyond

An, Xudong - 2020

We document changes in borrowers' sensitivity to negative equity and show heightened borrower default propensity as a fundamental driver of crisis period mortgage defaults. Estimates of a time-varying coefficient competing risk hazard model reveal a marked run-up in the default option beta from...

Persistent link: https://www.econbiz.de/10012855582

The Valuation of Financial Derivatives Subject to Counterparty Risk and Credit Value Adjustment

Xiao, Tim - 2019

This article presents a generic model for pricing financial derivatives subject to counterparty credit risk. Both unilateral and bilateral types of credit risks are considered. Our study shows that credit risk should be modeled as American style options in most cases, which require a backward...

Persistent link: https://www.econbiz.de/10012864519

Meet Me in the Middle – Central Clearing and Netting Efficiency in the Credit Default Swap Market

Schönemann, Gregor - 2020

We study the effect of central clearing on netting efficiency in the CDS market. We examine the development of position data and netting efficiency using aggregate data from the Depository Trust and Clearing Corporation (DTCC). Our main finding is that gross outstanding positions in cleared...

Persistent link: https://www.econbiz.de/10012838750

Credit Derivative Theory & Practice – A Credit Primer & Review of the Impact of ISDA Standardization on Credit Default Swap Pricing & Credit Model Calibration

Burgess, Nicholas - 2018

In this paper we review the pricing and model calibration of Credit Default Swaps referring to both the International Swaps and Derivatives Association (ISDA) CDS contract and credit model standardization guidelines. Furthermore we provide an Excel pricing workbook to supplement the materials...

Persistent link: https://www.econbiz.de/10012925163

Central counterparties and liquidity provision in cash markets

Richter, Thomas - In: Journal of risk and financial management : JRFM 14 (2021) 12, pp. 1-26

This paper investigates increased liquidity provision by market makers resulting from their ability to reduce balance sheet encumbrance through the use of central counterparties (CCPs). The introduction of the Basel III leverage rule constitutes a shock to market makers’ balance sheets and...

Persistent link: https://www.econbiz.de/10012798918

Accounting for Derivatives with Initial Margin Under IFRS 13

Kenyon, Richard - 2016

of the financial institution and specific trading patterns following IFRS 9 and IFRS 13 …

Persistent link: https://www.econbiz.de/10012978710

The Impact of Central Clearing on Credit Default Swap Spreads - Evidence from the North American and European Corporate Credit Default Swap Market

Oehler, Andreas - 2016

We contribute to the emerging debate on the joint dynamics of the markets for Credit Default Swaps (CDSs) and the central clearing functions of Central Counterparties (CCPs) by using a unique dataset of 155 North American and 151 European corporate single name CDSs for the period from late 2009...

Persistent link: https://www.econbiz.de/10012987183

Deriving the Term Structure of Banking Crisis Risk with a Compound Option Approach : The Case of Kazakhstan

Eichler, Stefan - 2016

We use a compound option-based structural credit risk model to infer a term structure of banking crisis risk from market data on bank stocks in daily frequency. Considering debt service payments with different maturities this term structure assigns a separate estimator for short- and long-term...

Persistent link: https://www.econbiz.de/10012989249

A New Model for Pricing Collateralized OTC Derivatives

Xiao, Tim - 2018

This paper presents a new model for pricing OTC derivatives subject to collateralization. It allows for collateral posting adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding...

Persistent link: https://www.econbiz.de/10012936706