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Revisiting structural modeling of credit risk : evidence from the credit default swap (CDS) market

Huang, Zhijian; Luo, Yuchen - In: Journal of risk and financial management : JRFM 9 (2016) 2, pp. 1-20

The ground-breaking Black-Scholes-Merton model has brought about a generation of derivative pricing models that have been successfully applied in the financial industry. It has been a long standing puzzle that the structural models of credit risk, as an application of the same modeling paradigm,...

Persistent link: https://www.econbiz.de/10011543979

The conditional dependence structure of banking sector credit default swap indices

Zghal, Rania; Ghorbel, Ahmed; Triki, Mohamed Wajdi - In: International journal of financial markets and derivatives 4 (2015) 3/4, pp. 273-298

Persistent link: https://www.econbiz.de/10011546011

Credit default swaps : has the GFC influenced perceptions of their utility for banks?

Dias, Roshanthi - In: Journal of economic surveys 30 (2016) 4, pp. 712-735

Persistent link: https://www.econbiz.de/10011553564

Credit default swaps as indicators of bank financial distress

Avino, Davide; Conlon, Thomas; Cotter, John - 2016

Persistent link: https://www.econbiz.de/10011502511

Countercyclical foreign currency borrowing : Eurozone firms in 2007-2009

Bacchetta, Philippe; Merrouche, Ouarda - 2015

disruptions in the FX swap market caused a rise in dollar borrowing from US banks, especially for firms in export-oriented sectors …

Persistent link: https://www.econbiz.de/10011507853

Distressed debt restructuring in the presence of credit default swaps

Bedendo, Mascia; Cathcart, Lara; Jahel, Lina el - In: Journal of money, credit and banking : JMCB 48 (2016) 1, pp. 165-201

Persistent link: https://www.econbiz.de/10011516515

Short-term determinants of the idiosyncratic sovereign risk premium : a regime-dependent analysis for European credit default swaps

Calice, Giovanni; Mio, RongHui; Štěrba, Filip; … - In: Journal of empirical finance 33 (2015), pp. 174-189

Persistent link: https://www.econbiz.de/10011556866

Portfolio diversification in the sovereign credit swap markets

Consiglio, Andrea; Lotfi, Somayyeh; Zenios, Stauros Andrea - 2016

Persistent link: https://www.econbiz.de/10011539351

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

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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