We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit …. Jointly, options and CDS span the intermediate part of the distribution, which is driven by moderate-sized jump risk. We study … the returns on a trading strategy that buys (sells) stocks exposed to positive (negative) moderate-sized jump risk …

loan via a credit default swap (CDS). We examine whether this altered debtor-creditor relation affects borrowers …

IFRS 9 improves the relevance of LLPs for credit default swap (CDS) pricing. I report that LLPs under IFRS 9 are … consistently reflect future expected losses while earnings smoothing via LLP generally impair the credit-risk relevance of LLPs …