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Credit default swap spreads : market conditions, firm performance, and the impact of the 2007-2009 financial crisis

Fu, Xiaoqing; Li, Matthew C.; Molyneux, Philip - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2203-2225

Persistent link: https://www.econbiz.de/10012585554

Financial derivatives and default dependence : a time-varying copula approach

Zhang, Xuan; Liu, Ding; Zhao, Yang; Zhang, Zhekai - In: Applied economics letters 28 (2021) 11, pp. 958-963

Persistent link: https://www.econbiz.de/10012589711

Approximate value adjustments for European claims

Antonelli, Fabio; Ramponi, Alessandro; Scarlatti, Sergio - In: European journal of operational research : EJOR 300 (2022) 3, pp. 1149-1161

Persistent link: https://www.econbiz.de/10013207329

How do firms hedge in financial distress?

Dudley, Evan; Andrén, Niclas; Jankensgård, Håkan - In: The journal of futures markets 42 (2022) 7, pp. 1324-1351

Persistent link: https://www.econbiz.de/10013287960

Credit Default Swaps

Bomfim, Antulio N. - 2022

Credit default swaps (CDS) are the most common type of credit derivative. This paper provides a brief history of the …

Persistent link: https://www.econbiz.de/10013289298

How do Firms Hedge in Financial Distress?

Dudley, Evan; Andrén, Niclas; Jankensgård, Håkan - 2022

derivative portfolios in these firms are characterized by short put options. These positions are part of a composite three …

Persistent link: https://www.econbiz.de/10013291947

Credit Derivatives and Corporate Default Prediction

Ye, Xiaoxia; Yu, Fan; Zhao, Ran - 2021

There have been 128 defaults among U.S. CDS reference entities between 2001 and 2020. Within this sample, the five-year CDS spread is a significant predictor of corporate default in models with equity market covariates and firm attributes. This finding holds for forecast horizons up to 12...

Persistent link: https://www.econbiz.de/10013213330