We analyze credit default swap settlement auctions theoretically and evaluate them empirically. In our theoretical …

taken place thus far. -- Credit default swaps ; settlement ; auctions ; recovery basis ; corporate bonds ; default … to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used …The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led …

to major changes in the way CDS contracts are settled when default occurs. Auctions are increasingly the mechanism used …The rapid growth of the credit default swap (CDS) market and the increased number of defaults in recent years have led …, auctions will become a standard feature of all recent CDS contracts from now on. In this paper, we examine all of the CDS …

This Paper analyses corporate bond valuation and optimal call and default rules when interest rates and firm value are …

to systematic variation in default risk. Unlike previously used measures that proxy for a firm’s physical probability of … default, credit spreads proxy for a risk-adjusted default probability and thereby explicitly account for the non … premia, that is stocks with higher systematic default risk exposures, have higher expected equity returns which are largely …

specification with constant default free rates, we find that models with endogenous bankruptcy barriers (the Leland and the Anderson … implied probability of default within N years. We find under plausible assumptions on the market risk-premium for levered … firms that the models produce default probabilities for 5 years or more which are in line with the historical experience …

contract with default risk in a binomial setting. Randomly matched investors who place different values upon the firm in …

default), suggest the existence of time-varying liquidity risk of corporate bond returns conditional on episodes of flight to …