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Credit default swaps in general equilibrium : spillovers, credit spreads, and endogenous default

Darst, R. Matthew; Refayet, Ehraz - 2016

Persistent link: https://www.econbiz.de/10011500390

Liquidity and credit risk before and after the global financial crisis : evidence from the Korean corporate bond market

Shin, Dongheon; Kim, Baeho - In: Pacific-Basin finance journal 33 (2015), pp. 38-61

Persistent link: https://www.econbiz.de/10011474048

Performance evaluation for credit spread and default risk models

Sobehart, Jorge R.; Keenan, Sean C. - In: Credit risk models and management, (pp. 275-305). 2004

Persistent link: https://www.econbiz.de/10002432544

Giesecke, Kay (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001639703

Giesecke, Kay - 2001

Persistent link: https://www.econbiz.de/10001646775

Liquidity Provision, Credit Risk and the Bond Spread : New Evidence from the Subprime Mortgage Market

An, Xudong - 2015

We study the determinants of the subprime mortgage loan spread, with a particular focus on funding liquidity and … default-liquidity interaction effects. We find that sector-level as well as macro funding liquidity provision affected … subprime loan rates, explaining a significant portion of the variation in spreads. Liquidity conditions just prior to loan …

Persistent link: https://www.econbiz.de/10013012971

An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model

Milidonis, Andreas - 2015

Default risk in equity returns can be measured by structural models of default. In this paper we propose a credit warning signal (CWS) based on the Merton default risk (MDR) model and a Regime-switching default risk (RSDR) model. The RSDR model is a generalization of the MDR model, comprises...

Persistent link: https://www.econbiz.de/10013021368

Credit Default Swaps in General Equilibrium : Spillovers, Credit Spreads, and Endogenous Default

Darst, Matthew - 2016

This paper highlights two new effects of credit default swap markets (CDS) in a general equilibrium setting. First, when firms' cash flows are correlated, CDSs impact the cost of capital{credit spreads{and investment for all firms, even those that are not CDS reference entities. Second, when...

Persistent link: https://www.econbiz.de/10012992726

Liquidity Risk and Yield Spreads of Green Bonds

Wulandari, Febi - 2018

This study analyses how liquidity risk affects bonds' yield spreads after controlling for credit risk, bond …-speciﬁc characteristics and macroeconomic variables. Using two liquidity estimates, LOT liquidity and the bid-ask spread, we ﬁnd that, in … particular, the LOT liquidity measure has explanatory power for the yield spread of green bonds. Overall, however, the impact of …

Persistent link: https://www.econbiz.de/10012921889

Credit Spreads with Dynamic Debt

Das, Sanjiv Ranjan - 2015

This paper extends the baseline Merton (1974) structural default model, which is intended for static debt spreads, to a setting with dynamic debt, where leverage can be ratcheted up as well as written down through pre-specified exogenous policies. We provide a different and novel solution...

Persistent link: https://www.econbiz.de/10013035022