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Stock buybacks and credit default swap spread changes

Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies 31 (2023) 1, pp. 55-75

The authors investigate whether the effects of stock buyback announcements on credit default swap (CDS) spread changes … for US firms depend on macroeconomic conditions. The authors find that abnormal CDS spreads increase for small-sized firms … announced to repurchase a higher share ratio during the normal period. In contrast, abnormal CDS spreads decrease for big …

Persistent link: https://www.econbiz.de/10014226933

Quadratic Portfolio Credit Risk models with Shot-noise Effects

Gaspar, Raquel M.; Schmidt, Thorsten - Economics Institute for Research (SIR), … - 2005

We propose a reduced form model for default that allows us to derive closed-form solutions to all the key ingredients in credit risk modeling: risk-free bond prices, defaultable bond prices (with and without stochastic recovery) and probabilities of survival. We show that all these quantities...

Persistent link: https://www.econbiz.de/10005190855

Libor Benchmark Reform : Recipes for Success & Disaster

Burgess, Nicholas - 2020

Libor is arguably the world's most important number with more than USD 350 trillion of loans and financial contracts referencing this rate. Libor benchmark interest rates are being replaced with alternative reference rates (ARRs). There is no guarantee Libor rates will continue to be quoted...

Persistent link: https://www.econbiz.de/10012839385

Degrees of Specialness : An Empirical Analysis of the Italian BTP Repo Market

Skinner, Frank S. - 2007

We explain the variation in the degree of specialness for bonds used as collateral in the Italian Government BTP repo market. Some of our results are similar to the findings in the US repo market even though the underlying Italian BTP bond market is structurally different than the US Treasury...

Persistent link: https://www.econbiz.de/10012731986

Explaining Repo Specialness

Dufour, Alfonso - 2017

We study the dynamics of specialness for 1-day repo contracts on Italian Government bonds over a 10-year sample period. Our results show that collateral supply is a significant factor for specialness, along with repo liquidity, information uncertainty and short-selling proxies that reveal the...

Persistent link: https://www.econbiz.de/10012960621

Intraday Dynamics and Determinants of CCP and Bilateral General-Collateral Repos

Dufour, Alfonso - 2017

We study the spread between the intraday general collateral repo rate on Italian Government bonds and the ECB deposit rate, using a novel dataset. We focus on overnight repos, both cleared by central counterparty (CCP) and traded bilaterally. We observe that collateral supply, liquidity and...

Persistent link: https://www.econbiz.de/10012944875

NYU Yield Curve Seminar - An Overview of Yield Curve Calibration & LIBOR Reform

Burgess, Nicholas - 2021

In this PowerPoint presentation we give an overview of yield curves, show how they are modelled and calibrated and give a brief overview of LIBOR reform.Firstly we explain how to calibrate curves to imply forward rates & discount factors. Secondly, we outline the interpolation, optimization and...

Persistent link: https://www.econbiz.de/10013234561

Solving Complex Equations Subject to Constraints Using Lagrangian Constrained Optimization

Burgess, Nicholas - 2021

In this paper we outline the Lagrangian constrained optimization method to solve complex problems subject to constraints. Firstly we summarize the Lagrangian constrained optimization routine. Secondly we outline a detailed implementation strategy. Thirdly and finally we provide example and solve...

Persistent link: https://www.econbiz.de/10013213151

Advanced Yield Curve Calibration, Mixed Interpolation Schemes & How to Incorporate Jumps and the Turn-of-Year Effect

Burgess, Nicholas - 2021

Yield curves are used to imply the forward rates and discount factors from market tradable instruments and are required to discount future cash flows and evaluate the price of all financial contracts. Not all instruments can be included in the yield curve calibration or fitting process, hence we...

Persistent link: https://www.econbiz.de/10013213650

Libor Benchmark Reform : An Overview of Libor Changes and Its Impact on Yield Curves, Pricing and Risk

Burgess, Nicholas - 2020

Libor is arguably the world's most important number, with more than USD 200 trillion of derivatives, loans, securities and mortgages referencing this rate in the US markets alone. The Libor benchmark rate is being replaced with alternative reference rates (ARRs) and there is no guarantee the...

Persistent link: https://www.econbiz.de/10012847004