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Brigo, Damiano; Pede, Nicola; Petrelli, Andrea - In: International journal of theoretical and applied finance 22 (2019) 4, pp. 1-35

Persistent link: https://www.econbiz.de/10012030890

Pricing-hedging duality for credit default swaps and the negative basis arbitrage

Mai, Jan-Frederik - In: International journal of theoretical and applied finance 22 (2019) 6, pp. 1-17

Persistent link: https://www.econbiz.de/10012153067

Explaining co-movements between equity and CDS bid-ask spreads

Marra, Miriam - In: Review of quantitative finance and accounting 49 (2017) 3, pp. 811-853

Persistent link: https://www.econbiz.de/10011797542

Price discovery limits in the credit default swap market in the financial crisis

Pavlov, Andrey D.; Schwartz, Eduardo; Wachter, Susan M. - In: The journal of real estate finance and economics 62 (2021) 2, pp. 165-186

Persistent link: https://www.econbiz.de/10012428390

Credit Default Swaps und Informationsgehalt

Wagner, Eva - 2008

Kredit und Kreditrisiko -- Kreditderivate -- Der Credit Default Swap (CDS) -- Externes Rating, CDS und Informationseffi … Kreditderivate-Marktes ist der Credit Default Swap. Eva Wagner stellt den Informationsgehalt von Credit Default Swap (CDS) dem … zienz -- Asymmetrische Informationsverteilung am CDS-Markt -- CDS-, Anleihe- und Aktienmarkt -- Empirische Untersuchung zum …

Persistent link: https://www.econbiz.de/10013517112

How credit default swaps affect risk-shifting

Park, Dojoon; Lee, Jiyoon; Chanatip Kitwiwattanachai - In: Journal of economic development 48 (2023) 4, pp. 93-115

Persistent link: https://www.econbiz.de/10014487594

Pricing Constant Maturity Credit Default Swaps Under Jump Dynamics

Jönsson, Henrik - 2010

market spread on a CDS with constant maturity tenor written on the same reference name. By setting up a firm value model … based on single sided \levy\ models we can generate dynamic spreads for the reference CDS. The valuation of the CMCDS can …

Persistent link: https://www.econbiz.de/10013141953

Chapter 20. Credit Derivatives

Hull, John; White, Alan - 2013

This chapter explains how the main types of credit derivatives work and how they are valued. Central to the valuation of credit derivatives is an estimation of the probability that reference entities will default. The chapter discusses both the risk-neutral probabilities of default implied from...

Persistent link: https://www.econbiz.de/10014025358

The role of social media in the corporate bond market : evidence from Twitter

Bartov, Eli; Faurel, Lucile; Mohanram, Partha - In: Management science : journal of the Institute for … 69 (2023) 9, pp. 5638-5667

Persistent link: https://www.econbiz.de/10014392963

Credit derivatives and the default risk of large complex financial institutions

Calice, Giovanni; Ioannidis, Christos; Williams, Julian - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 85-107

Persistent link: https://www.econbiz.de/10009714834