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An empirical study on the decoupling movements between corporate bond and CDS spreads

Alexopoulou, Ioana; Andersson, Magnus; Georgescu, Oana Maria - 2009

factors and liquidity. Our analysis confirms the existence of a long-run relationship between the two markets, and the … CDS markets becoming more sensitive to systematic risk while cash bond markets priced in more information about liquidity …. -- Credit Default Swap Spreads ; Corporate Bond Spreads ; Liquidity …

Persistent link: https://www.econbiz.de/10003963752

An Empirical Study on the Decoupling Movements between Corporate Bond and CDS Spreads

Alexopoulou, Ioana - 2009

Persistent link: https://www.econbiz.de/10013156973

Cross-Border M&As and Credit Risk : Evidence from the CDS Market

Ismailescu, Iuliana; Col, Burcin - 2022

This paper examines the impact of cross-border acquisition announcements on the U.S. bidders’ credit risk. On average, we find a significant increase in bidders’ rating-adjusted credit default swap (CDS) spreads around an acquisition announcement in an emerging market (EM), but no marked...

Persistent link: https://www.econbiz.de/10013309367

Credit Spreads : An Empirical Analysis on the Informational Content of Stocks, Bonds, and CDS

Forte, Santiago - 2012

This paper explores the dynamic relationship between stock market implied credit spreads, CDS spreads, and bond spreads. A general VECM representation is proposed for changes in the three credit spread measures which accounts for zero, one, or two independent cointegration equations, depending...

Persistent link: https://www.econbiz.de/10012755686

What determines euro area bank CDS spreads?

Annaert, Jan; De Ceuster, Marc J.; Van Roy, Patrick; … - 2010

risk drivers. The choice of the credit risk drivers is inspired by the Merton (1974) model. Individual CDS liquidity and … explaining credit spread changes. Our decomposition reveals, however, highly changing dynamics in the credit, liquidity, and … different signals from liquidity based CDS spread changes than from business cycle or credit risk based changes. For the recent …

Persistent link: https://www.econbiz.de/10011596544

Credit Contagion from Counterparty Risk

Jorion, Philippe - 2014

Standard credit risk models cannot explain the observed clustering of default, sometimes described as "credit contagion." This paper provides the first empirical analysis of credit contagion via direct counterparty effects. We examine the wealth effects of bankruptcy announcements on creditors...

Persistent link: https://www.econbiz.de/10013071217

The time-varying impact of systematic risk factors on corporate bond spreads

Klein, Arne Christian; Pliszka, Kamil - 2018

During the global financial crisis, stressed market conditions led to skyrocketing corporate bond spreads that could not be explained by conventional modeling approaches. This paper builds on this observation and sheds light on time-variations in the relationship between systematic risk factors...

Persistent link: https://www.econbiz.de/10011855295

Valuation Differences between Credit Default Swap and Corporate Bond Markets

Entrop, Oliver - 2014

bond liquidity measures and find a significant impact of the general level of credit risk on the time series variation of …

Persistent link: https://www.econbiz.de/10013069439

Foreign acquisition and credit risk : evidence from the U.S. CDS market

Yilmaz, Umit - 2016 - This draft: May 31, 2016

This paper empirically analyses the effect of foreign block acquisitions on the U.S. target firms' credit risk as captured by their CDS. The involvement of foreign investors leads to a significant increase in the target firms' CDS spreads. This effect is stronger when foreign owners are...

Persistent link: https://www.econbiz.de/10011519062

Credit Default Swap Market : 'Big Bang'?

Boumlouka, Makrem - 2009

Whether accelerated by the recent market's conditions or not, for the past couple of months, we have been hearing about a dramatic change in Credit Default Swap (CDS) contracts and in North American CDS conventions which has qualified as a “Big Bang”. But is it really a Big Bang?

Persistent link: https://www.econbiz.de/10013154848

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