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A reduced-form contingent convertible bond model with deterministic conversion intensity

Cheridito, Patrick; Xu, Zhikai - In: Journal of risk 17 (2014/15) 3, pp. 1-18

Persistent link: https://www.econbiz.de/10011298892

Informationally dynamized Gaussian copula

Crépey, S.; Jeanblanc, Monique; Wu, Dong Li - In: International journal of theoretical and applied finance 16 (2013) 2, pp. 1-29

Persistent link: https://www.econbiz.de/10009748717

Modelling the bid and ask prices of illiquid CDSs

Walker, Michael B. - In: International journal of theoretical and applied finance 15 (2012) 6, pp. 1-37

Persistent link: https://www.econbiz.de/10009672590

Credit market choice

Boyarchenko, Nina; Costello, Anna M.; Shachar, Or - 2018

speculative positions in CDS by 13 cents per dollar of bond transactions, and their hedging positions by 13 cents per dollar of …

Persistent link: https://www.econbiz.de/10011894384

CDS and credit: the effect of the bangs on credit insurance, lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2023 - This draft: October 31, 2023

Persistent link: https://www.econbiz.de/10014483049

Managerial tone and investors' hedging activities : evidence from credit default swaps

Liang, Peng; Hu, Nan; Liu, Ling; Zhang, Ting - In: Accounting and finance 63 (2023) 4, pp. 3971-3998

Persistent link: https://www.econbiz.de/10014476935

CDS and credit : after the bangs cheaper credit insurance, more lending and hedging

Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2021

Persistent link: https://www.econbiz.de/10012796769

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2012

We analyze optimal hedging contracts and show that although hedging aims at sharing risk, it can lead to more risk …. This incentive problem limits the capacity to share risks and generates endogenous counterparty risk. Optimal hedging can … address the market failure caused by unregulated trading of hedging contracts among protection sellers …

Persistent link: https://www.econbiz.de/10013113017

Risk-Sharing or Risk-Taking? Counterparty Risk, Incentives and Margins

Biais, Bruno - 2020

Derivatives activity, motivated by risk-sharing, can breed risk-taking. Bad news about the risk of the asset underlying the derivative increases the expected liability of a protection seller and undermines her risk-prevention incentives. This limits risk-sharing, and may create endogenous...

Persistent link: https://www.econbiz.de/10012857581

Managing the Risk of Loans with Basis Risk : Sell, Hedge, or Do Nothing?

Wall, Larry D. - 2015

suggest that if the hedge is not subject to basis risk, then hedging dominates a strategy of “do nothing.” Whether hedging … hedging and loan sales strategy for risk neutral banks. A number of empirical implications follow from the analytical and …

Persistent link: https://www.econbiz.de/10013032684