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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

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, the payoff of credit derivatives with a leverage component is sensitive to jumps in the underlying credit spreads. In the framework of first passage time models we extend the model introduced in...

Persistent link: https://www.econbiz.de/10011293918

Credit dynamics in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

Persistent link: https://www.econbiz.de/10003905500

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

Persistent link: https://www.econbiz.de/10003906967

Credit gap risk in a first passage time model with jumps

Packham, Natalie; Schlögl, Lutz; Schmidt, Wolfgang M. - 2009

The payoff of many credit derivatives depends on the level of credit spreads. In particular, credit derivatives with a leverage component are subject to gap risk, a risk associated with the occurrence of jumps in the underlying credit default swaps. In the framework of first passage time models,...

Persistent link: https://www.econbiz.de/10011293916

A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161

Persistent link: https://www.econbiz.de/10011441273

Debt Default Risk and the Correlation of Stock Returns and Bond Yield Changes

Demiralp, Ilhan - 2010

corporate bond yield changes and stock returns should be informative about firm level default risk of this corporate debt. In … estimate the contemporaneous correlation between firm level corporate bond yield changes and stock returns using daily data … evidence that as the stock-bond correlations increase in absolute value, the default risks of bonds increase, as expected. In …

Persistent link: https://www.econbiz.de/10013139782