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Credit default swaps in two-dimensional models with various informations flows

Gapeev, Pavel V.; Jeanblanc, Monique - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10012270908

Why do investors buy sovereign default insurance?

Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016

We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...

Persistent link: https://www.econbiz.de/10011541398

A critical review of neoclassical modeling techniques in structured finance

Fahey, Brian - In: Journal of post-Keynesian economics : JPKE 35 (2013) 3, pp. 319-340

Persistent link: https://www.econbiz.de/10009759928

How safe are central counterparties in credit default swapmarkets?

Paddrik, Mark; Young, H. Peyton - 2019

Persistent link: https://www.econbiz.de/10012196190

Counterparty risk and funding : immersion and beyond

Crépey, Stéphane; Song, Shiqi - In: Finance and stochastics 20 (2016) 4, pp. 901-930

Persistent link: https://www.econbiz.de/10011569906

Spread term structure and default correlation

Gagliardini, Patrick; Gouriéroux, Christian - In: Annals of economics and statistics 123/124 (2016), pp. 175-223

Persistent link: https://www.econbiz.de/10011592744

Assessing contagion risks from the CDS market

Brunnermeier, Markus Konrad; Clerc, Laurent; El Omari, Yanis - 2013

Over the past few years the CDS market's role has evolved from mostly providing default protection towards credit risk trading. The first-ever credit event in a developed country's sovereign CDS has further highlighted the importance of the CDS market from a macro-prudential perspective....

Persistent link: https://www.econbiz.de/10011972792

Credit default swaps

Bomfim, Antúlio N. - 2022 - This draft: March 4, 2022

Persistent link: https://www.econbiz.de/10013332772

Credit default swaps

Bomfim, Antúlio N. - In: Research handbook of financial markets, (pp. 429-450). 2023

Persistent link: https://www.econbiz.de/10014331088

Why do banks use credit default swaps (CDS)? : a systematic review

Tabassum; Yameen, Mohammad - In: Journal of economic surveys 38 (2024) 1, pp. 201-231

Persistent link: https://www.econbiz.de/10014474357

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