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CDS Returns

Augustin, Patrick; Saleh, Fahad; Xu, Haohua - In: Journal of economic dynamics & control 118 (2020), pp. 1-27

Persistent link: https://www.econbiz.de/10012503412

The leverage externalities of credit default swaps

Li, Jay Yin; Tang, Dragon Yongjun - In: Journal of financial economics 120 (2016) 3, pp. 491-513

Persistent link: https://www.econbiz.de/10011590235

Debt market illiquidity and correlated default risk

Javadi, Siamak; Mollagholamali, Mohsen - In: Finance research letters 26 (2018), pp. 266-273

Persistent link: https://www.econbiz.de/10012005695

Debt collateralization, capital structure, and maximal Leverage

Gong, Feixue; Phelan, Gregory - 2019 - This version: July 31, 2019

Persistent link: https://www.econbiz.de/10012116220

Capital structure arbitrage under a risk-neutral calibration

Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23

By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To maximize the sensitivity to volatility, a simple...

Persistent link: https://www.econbiz.de/10011619118