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Swap Credit Risk: An Empirical Investigation on Transaction Data.
Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1997
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers … provide results for both interest rate and currency swaps. …
Persistent link: https://www.econbiz.de/10011163416
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Implementing a Structural Valuation Model of Swap Credit-Sensitive Rates.
Pirotte, Hugues - Centre Emile Bernheim, Solvay Brussels School of … - 1999
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …
Persistent link: https://www.econbiz.de/10005357850
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How well do classical credit risk pricing models fit swap transaction data?
Pirotte, Hugues; Cossin, Didier - Solvay Brussels School of Economics and Management, … - 1998
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …
Persistent link: https://www.econbiz.de/10011163405
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How Well Do Classical Credit Risk Pricing Models Fit Swap Transaction Data?
Pirotte, Hugues; Cossin, Didier - Centre Emile Bernheim, Solvay Brussels School of … - 1998
Currency and interest rate swaps are subject to a complex, two-sided default risk. Several theoretical papers have …
Persistent link: https://www.econbiz.de/10005558868
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Swap Credit Risk : An Empirical Investigation on Transaction Data
Cossin, Didier - 2006
Currency and interest rate swaps are subject to a complex, two-sided default risk. Although several theoretical papers … provide results for both interest rate and currency swaps …
Persistent link: https://www.econbiz.de/10012779347
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Use of credit default swaps by UCITS funds : evidence from EU regulatory data
Guagliano, Claudia; Mazzacurati, Julien; Kenny, Oisin; … - 2019
paper aims to provide a first overview of the use of credit default swaps by EU UCITS funds. We show that UCITS funds only … account for a small share of the overall EU credit derivatives market. The CDS market is highly concentrated, with thirteen …
Persistent link: https://www.econbiz.de/10012017692
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Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2011
Using a novel data set and new proxies for rollover losses and market illiquidity, this paper finds that market illiquidity affects corporate bond spreads beyond a liquidity premium through a “rollover risk channel”. This effect is economically significant during episodes of market...
Persistent link: https://www.econbiz.de/10013128430
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Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2010
This paper examines whether rollover risk is priced on corporate bond spreads. Using a novel data set and new proxies for rollover risk and market illiquidity, the empirical analysis developed reveals that market illiquidity affects corporate bond spreads beyond a liquidity premium through a...
Persistent link: https://www.econbiz.de/10013136794
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Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2010
Using a novel data set and new proxies for rollover risk and market illiquidity, this paper examines whether rollover risk is priced on corporate bonds. The empirical analysis developed in this paper reveals that market illiquidity affects corporate bond spreads beyond a liquidity premium...
Persistent link: https://www.econbiz.de/10013146720
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The Economics of Financial Derivative Instruments
NWAOBI, GODWIN C - Volkswirtschaftliche Fakultät, … - 2008
. And yet, more and more companies are using(or being forced to use) futures and derivatives to stay competitive in a fast …
Persistent link: https://www.econbiz.de/10005621718