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Default clustering risk premium and its cross-market asset pricing implications
Byun, Kiwoong; Kim, Baeho; Oh, Dong Hwan - 2023
Persistent link: https://www.econbiz.de/10014377671
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Term structure of credit default swap liquidity premiums
Leal, Diego; Stanhouse, Bryan E. - In: The journal of derivatives : JOD 30 (2023) 4, pp. 47-73
Persistent link: https://www.econbiz.de/10014306869
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The impact of CDX spreads on individual credit default swap contracts
Davaadorj, Zagdbazar - In: International Journal of Financial Markets and … 10 (2024) 1, pp. 35-46
Persistent link: https://www.econbiz.de/10015064459
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Credit default swaps, fire-sale risk, and the liquidity provision in the bond market
Massa, Massimo; Zhang, Lei - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 4, pp. 1963-1996
Persistent link: https://www.econbiz.de/10015055439
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Credit Default Swap : Funktionsweise, Marktteilnehmer, Verhältnis zu Anleihen
Frisch, Christophe - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003782721
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Essays on Risk Premiums derived from Credit Default Swap Spreads
Jopp, Thomas - 2024
rates until the end of 2021. Risk premiums are derived from sovereign and corporate credit default swap (CDS) spreads. The …
Persistent link: https://www.econbiz.de/10015072159
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Bank Loan Renegotiation and Credit Default Swaps
Clark, Brian J. - 2020
Using Roberts (2015) loan-level data from 2000 to 2011, we find that the inception of CDS trading on reference firms' debt is associated with a decreased number and lower probability of amendments, restatements, and rollovers to existing lenders of bank loans. Reference firms are also less...
Persistent link: https://www.econbiz.de/10012853623
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Do credit default swaps impact lenders' monitoring of loans?
Essaddam, Naceur; Hossain, Miran; Hussain, Tashfeen - In: Review of quantitative finance and accounting 61 (2023) 2, pp. 567-600
Persistent link: https://www.econbiz.de/10014342044
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Bank loan renegotiation and credit default swaps
Clark, Brian; Donato, James; Francis, Bill B.; Shohfi, … - In: Journal of banking & finance 151 (2023), pp. 1-19
Persistent link: https://www.econbiz.de/10014463074
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A note on credit spread forwards
Hertrich, Markus - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 77-78
Persistent link: https://www.econbiz.de/10011720963