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What Drives Corporate Bond Risk Premia? Evidence from the CDS Market
Diaz, Antonio - 2017
–2010. We employ information embedded in Credit Default Swap (CDS) contracts to quantify expected excess returns from the …
Persistent link: https://www.econbiz.de/10012976109
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Credit Default Swap & Variance Risk Premia
Zgolli, Ghada - 2012
. The explanatory power of the theoretical variables for levels of default swap premia is approximately 89%. The explanatory … explanatory power for credit default swap premia. A principal component analysis of the residuals and the premia shows that there … important determinants of credit default swap premia, as predicted by theory …
Persistent link: https://www.econbiz.de/10013096403
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Option-Based Credit Spreads
Culp, Christopher L. - 2017
economic growth. Using this framework, we find that bond market illiquidity, investors' over-estimation of default risks, and …
Persistent link: https://www.econbiz.de/10012972376
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An Empirical Investigation of CDS Spreads Using a Regime Switching Default Risk Model
Milidonis, Andreas - 2015
. Using the dataset of US credit default swap (CDS) contracts we construct rating based indices to investigate the MDR and …
Persistent link: https://www.econbiz.de/10013021368
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Global Financial Crisis and Price Discovery between Credit Default Swaps Premia and Bond Yield Spreads
Klenina, Ekaterina - 2017
This paper examines the relationship between CDS and bond markets in the context of the financial crisis by employing daily data between January 2007 and September 2014. To the best of our knowledge this is the first study that analyses the incorporation of new information for CDSs and bonds...
Persistent link: https://www.econbiz.de/10012949170
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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 …
Persistent link: https://www.econbiz.de/10012992726
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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
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Implied Liquidity Risk Premium in the Term Structure of Sovereign Credit Default Swap and Bond Spreads
Badaoui, Saad - 2014
credit default swap (CDS) and bond markets. We show that liquidity risk has a non-trivial role and participates directly to …
Persistent link: https://www.econbiz.de/10013063132
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Decomposition of country-specific corporate bond spreads
Dötz, Niko - 2014
This paper presents a new approach, based on the Merton model, to decomposing corporate bond spreads into the expected loss, bond risk premium and liquidity premium components. The approach focuses on establishing the bond risk premium using the equity risk premium and the hedge ratio, which are...
Persistent link: https://www.econbiz.de/10010458538
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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