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Valuation of systematic risk in the cross-section of credit default swap spreads
Claußen, Arndt; Löhr, Sebastian; Rösch, Daniel; … - In: The quarterly review of economics and finance : journal … 64 (2017), pp. 183-195
Persistent link: https://www.econbiz.de/10011792305
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Measuring connectedness of euro area sovereign risk
Buse, Rebekka; Schienle, Melanie - 2019
We introduce a method for measuring default risk connectedness of euro zone sovereign states using credit default swap …
Persistent link: https://www.econbiz.de/10011958223
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The effect of risk disclosures on the pricing of credit default swaps
Chiu, Tzu-Ting; Guan, Yuyan; Kim, Jeong-bon - 2017
Persistent link: https://www.econbiz.de/10011974305
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Is default risk priced equally fast in the credit default swap and the stock markets? : an empirical investigation
Tolikas, Konstantinos; Topaloglou, Nikolas - In: Journal of international financial markets, … 51 (2017), pp. 39-57
Persistent link: https://www.econbiz.de/10011896287
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The Credit Default Swap market contagion during recent crises : international evidence
Sabkha, Saker; Peretti, Christian de; Hmaied, Dorra Mezzez - In: Review of quantitative finance and accounting 53 (2019) 1, pp. 1-46
Persistent link: https://www.econbiz.de/10012173009
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ESG Management and Credit Risk Premia : Evidence from Credit Default Swaps for Japan's Major Companies
INABA, Kei-Ichiro; Hatakeyama, Yuji - 2022
In the credit default swap (CDS) market, Japan’s major companies are regarded on average as having weak pathways …
Persistent link: https://www.econbiz.de/10014238127
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The Effect of Risk Factor Disclosures on the Pricing of Credit Default Swaps
Chiu, Tzu-Ting; Guan, Yuyan; Kim, Jeong-Bon - 2017
swap (CDS) spreads. Based on the theory of Duffie and Lando (2001), we predict and find that CDS spreads decrease …
Persistent link: https://www.econbiz.de/10014136143
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ESG management and credit risk premia: evidence from credit default swaps for Japan's major companies
Inaba, Kei-Ichiro; Hatakeyama, Yuji - 2022
Persistent link: https://www.econbiz.de/10013368801
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The co-integration of CDS and bonds in time-varying volatility dynamics : do credit risk swaps lower bond risks?
Li, Leon; Scrimgeour, Frank G. - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 26 (2022) 3, pp. 475-497
Persistent link: https://www.econbiz.de/10013334844
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Credit variance risk premiums
Ammann, Manuel; Mörke, Mathis - In: European financial management : the journal of the … 29 (2023) 4, pp. 1304-1335
Persistent link: https://www.econbiz.de/10014369332