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Year of publication
Subject
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Kreditderivat 3,775 Credit derivative 3,710 Kreditrisiko 2,230 Credit risk 2,208 Theorie 855 Theory 852 Welt 708 World 708 Derivat 674 Derivative 673 Risikoprämie 629 Risk premium 629 Finanzkrise 625 Financial crisis 621 Credit insurance 533 Kreditversicherung 533 Yield curve 470 Zinsstruktur 470 Country risk 450 Länderrisiko 450 Public bond 417 Öffentliche Anleihe 417 EU-Staaten 366 EU countries 365 Swap 336 Estimation 317 Schätzung 317 Börsenkurs 302 Share price 300 USA 286 Eurozone 285 Risikomanagement 285 Euro area 284 United States 281 Risk management 275 Insolvency 255 Insolvenz 255 Volatility 237 Volatilität 237 Public debt 232
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Online availability
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Free 1,678 Undetermined 933 CC license 38
Type of publication
All
Book / Working Paper 2,028 Article 1,809 Journal 2 Other 1
Type of publication (narrower categories)
All
Article in journal 1,638 Aufsatz in Zeitschrift 1,638 Graue Literatur 656 Non-commercial literature 656 Working Paper 614 Arbeitspapier 608 Aufsatz im Buch 156 Book section 156 Hochschulschrift 124 Thesis 89 Collection of articles of several authors 36 Sammelwerk 36 Collection of articles written by one author 30 Sammlung 30 Aufsatzsammlung 17 Dissertation u.a. Prüfungsschriften 17 Conference paper 14 Konferenzbeitrag 14 Lehrbuch 8 Textbook 6 Handbook 5 Handbuch 5 Glossar enthalten 4 Glossary included 4 Konferenzschrift 4 Amtliche Publikation 3 Bibliografie 3 Case study 3 Fallstudie 3 Mikroform 2 Systematic review 2 Übersichtsarbeit 2 Amtsdruckschrift 1 Bibliografie enthalten 1 Bibliography included 1 Conference proceedings 1 Festschrift 1 Government document 1 Guidebook 1 Monografische Reihe 1
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Language
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English 3,682 German 123 Undetermined 24 French 6 Spanish 4 Italian 2 Polish 1 Portuguese 1
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Author
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Tang, Dragon Yongjun 38 Gündüz, Yalın 36 Scheicher, Martin 36 Subrahmanyam, Marti G. 28 Augustin, Patrick 27 Zhang, Gaiyan 25 Calice, Giovanni 24 Fabozzi, Frank J. 24 Mayordomo, Sergio 24 Zhong, Zhaodong 23 Lee, Jongsub 22 Zhou, Hao 21 Brigo, Damiano 20 Wang, Xinjie 20 Zhu, Haibin 20 Hammoudeh, Shawkat 19 Pelizzon, Loriana 19 Peltonen, Tuomo 19 Wang, Sarah Qian 19 Gilchrist, Simon 18 Aizenman, Joshua 17 Vuillemey, Guillaume 17 Zakrajšek, Egon 17 Caporin, Massimiliano 16 Capponi, Agostino 16 Hasan, Iftekhar 16 Kiesel, Florian 16 Bolton, Patrick 15 Byström, Hans N. E. 15 Peña Sánchez de Rivera, Juan Ignacio 15 Schiereck, Dirk 15 Urban, Jörg 15 Jinjarak, Yothin 14 Ongena, Steven 14 Cathcart, Lara 13 Gex, Mathieu 13 Hu, Nan 13 Lin, Ming-Tsung 13 Naranjo, Andy 13 Ters, Kristyna 13
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Institution
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National Bureau of Economic Research 36 International Monetary Fund (IMF) 21 European Central Bank 6 International Monetary Fund 5 Europäische Zentralbank / Advisory Group on Market Infrastructures for Securities and Collateral 4 Duale Hochschule Baden-Württemberg Stuttgart 3 Institut für Volkswirschaftlehre, Fakultät für Wirtschaftswissenschaften 3 Springer Fachmedien Wiesbaden 3 Verlag Dr. Kovač 3 Basel Committee on Banking Supervision 2 European Commission / Joint Research Centre 2 Friedrich-Schiller-Universität Jena 2 Mohr Siebeck GmbH & Co. KG 2 Shaker Verlag 2 Advisory Group on Market Infrastructures for Securities and Collateral 1 Bank für Internationalen Zahlungsausgleich / Committee on the Global Financial System 1 Banque de France 1 Books on Demand GmbH <Norderstedt> 1 Bucerius Law School 1 CFA Institute <Charlottesville, Va.> 1 Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) 1 Centre de Recherche en Économie et Statistique (CREST), Groupe des Écoles Nationales d'Économie et Statistique (GENES) 1 Centre for Analytical Finance <Århus> 1 Centre for Development Studies <Glasgow> 1 Christian-Albrechts-Universität zu Kiel 1 Department of Economics, Oxford University 1 Eberhard Karls Universität Tübingen 1 Econometrisch Instituut <Rotterdam> 1 Electrical and Computer Engineering 1 Europäische Kommission 1 Europäische Zentralbank 1 Federal Reserve Bank of Atlanta 1 Financial Markets Conference, Credit Derivatives: Where's the Risk? <2007, Atlanta, Ga.> 1 Frank J. Fabozzi Associates <New Hope, Pa.> 1 Frankfurt School of Finance and Management 1 Gottfried Wilhelm Leibniz Universität Hannover 1 Lunds Universitet / Nationalekonomiska Institutionen 1 Nationalekonomiska Institutionen, Ekonomihögskolan 1 Nomos Verlagsgesellschaft 1 Otto-Friedrich-Universität Bamberg 1
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Published in...
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Journal of banking & finance 67 The journal of structured finance 50 Finance research letters 43 The journal of fixed income 42 International review of financial analysis 41 International journal of theoretical and applied finance 39 Journal of financial stability 37 Journal of international financial markets, institutions & money 37 NBER working paper series 36 NBER Working Paper 32 The journal of credit risk : published quarterly by Incisive Media 32 Journal of financial economics 31 Journal of international money and finance 31 Journal of empirical finance 26 Research paper series / Swiss Finance Institute 26 The journal of futures markets 26 The review of financial studies 26 Working paper / National Bureau of Economic Research, Inc. 26 IMF working papers 23 The North American journal of economics and finance : a journal of financial economics studies 23 Discussion paper / Centre for Economic Policy Research 20 IMF Working Papers 20 Review of quantitative finance and accounting 20 Working paper series / European Central Bank 20 Applied economics 19 ECB Working Paper 19 Economic modelling 19 International review of economics & finance : IREF 19 Discussion paper 18 Journal of financial and quantitative analysis : JFQA 18 Management science : journal of the Institute for Operations Research and the Management Sciences 18 Review of finance : journal of the European Finance Association 18 Finance and economics discussion series 17 Swiss Finance Institute Research Paper 17 Review of derivatives research 16 The European journal of finance 16 The journal of derivatives : the official publication of the International Association of Financial Engineers 16 Research in international business and finance 15 SpringerLink / Bücher 15 The journal of finance : the journal of the American Finance Association 14
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Source
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ECONIS (ZBW) 3,743 USB Cologne (EcoSocSci) 51 RePEc 38 EconStor 6 BASE 2
Showing 1 - 50 of 3,840
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Sovereign risk and stock market response to natural disasters in emerging economies
Bermúdez-Cespedes, Juan Pablo; Melo-Velandia, Luis Fernando - 2025
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Markov switching volatility connectedness across international CDS markets
Mensi, Walid; Gemici, Eray; Polat, Müslüm; Kang, Sang Hoon - In: International review of economics & finance : IREF 98 (2025), pp. 1-17
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Credit risk transfer and systemic risk
Moliterni, Francesco - In: Systemic Risk and Complex Networks in Modern Financial …, (pp. 127-131). 2025
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The real effect of CDS trading : evidence from corporate employment
Lai, Shaojie; Liu, Shiang; Pu, Xiaoling; Zhang, Jianing - In: International review of finance : the official journal … 25 (2025) 1, pp. 1-30
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US Treasury market default risk and global interbank liquidity risk
Cottrell, Simon; Lei, Jinghua; Ma, Yihong; Delpachitra, … - In: Borsa Istanbul Review 25 (2025) 1, pp. 66-78
Using Credit Default Swaps (CDS) on sovereign bonds, we investigate whether US sovereign default risk is a greater driving factor of domestic interbank funding risk than domestic sovereign default risk across the five Libor counties including Canada and Australia. We use equivalent-country...
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ESG ratings, ESG news sentiment and firm credit risk perception
Wang, Fangfang; Silaghi, Florina; Ongena, Steven; … - 2025
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Predictive power of oil prices on CDS spread dynamics of oil-producing countries
Wegener, Christoph; Basse, Tobias; Maiani, Stefano; … - 2025
This paper employs predictive regressions to explore the predictability of sovereign Credit Default Swap (CDS) spread dynamics of relevant oil-producing countries. By incorporating oil prices and additional control variables, we predict the rate of CDS spread changes for Brazil, the UK,...
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Assessing the pandemic aviation crisis : speculative behavior, government bail outs, and accommodative monetary policy
Costa, Viviana; Oliveira, Maria Alberta; Santos, Carlos - In: Economies : open access journal 12 (2024) 10, pp. 1-24
The COVID-19 pandemic was a health, economic, and financial crisis. The aviation sector was one of the most severely hit. Despite the extensive literature on this, COVID-Finance has been focused on stock returns, neglecting what could be learnt from the spreads of airlines' credit default swaps...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015197647
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Cross-border sovereign risk transmission in BRICIT Nations : unveiling asymmetries and the role of country risk premiums
Kumar, Pawan; Singh, Vipul Kumar - In: Borsa Istanbul Review 24 (2024) 6, pp. 1263-1274
This research highlights the asymmetric interdependence structure among the sovereign risks of Brazil, Russia, India, China, Indonesia, and Türkiye (BRICIT) nations, challenging the traditional view that bilateral trade is the main channel for cross-border spillover effects. Despite their...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015152689
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A view from outside : sovereign CDS volatility as an indicator of economic uncertainty
Boeck, Maximilian; Feldkircher, Martin; Raunig, Burkhard - In: Macroeconomic dynamics 28 (2024) 7, pp. 1423-1450
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Dynamic credit risk transmissions among global major industries : evidence from the TVP-VAR spillover approach
Lim, Seo-Yeon; Choi, Sun-Yong - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-18
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Examining the nexus between oil shocks and sovereign credit risk : multidimensional insights from major oil exporters
Naifar, Nader - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-24
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Stability and risk contagion in the global sovereign CDS market under Russia-Ukraine conflict
Shen, Yiran; Feng, Qianqian; Sun, Xiaolei - In: The North American journal of economics and finance : a … 74 (2024), pp. 1-17
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ESG risks and corporate viability : insights from default probability term structure analysis
Ferriani, Fabrizio; Pericoli, Marcello - 2024
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Life after (soft) default
De Giorgi, Giacomo; Naguib, Costanza - In: European economic review : EER 167 (2024), pp. 1-17
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Pricing implications of centrality in an OTC derivative market : an empirical analysis using transaction-level CDS Data
Maehashi, Kohei; Miyakawa, Daisuke; Sasamoto, Kana - 2024
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Exchange rates, credit default swaps and market volatility of emerging markets : panel CS-ARDL approach
Wang, Alan T.; Liang, Chin Chia - In: Borsa Istanbul Review 24 (2024) 1, pp. 176-186
Using the panel-data approach with a sample of emerging countries, this study examines the relationship between exchange-rate movements from 2011 to 2022, on the one hand, and sovereign debt credit default swap (CDS) premiums and market volatility, on the other. To capture the short- and...
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Exchange rates and sovereign risk : a nonlinear approach based on local Gaussian correlations
Heinlein, Reinhold; Legrenzi, Gabriella; Mahadeo, Scott … - 2024
We empirically assess the interlinkages between sovereign risk, measured in terms of CDS spreads, and exchange rates for a sample of emerging markets. Our period of analysis includes periods of severe stress, such as the Global Financial Crisis, the COVID-19 pandemic and the Ukrainian War. Using...
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The spillover effect between credit ratings : COVID-19 crisis perspective
Chodnicka-Jaworska, Patrycja; Obeid, Hassan; Jaworski, Piotr - 2024
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Withholding bad news in the face of credit default swap trading : evidence from stock price crash risk
Liu, Jinyu; Ng, Jeffrey; Tang, Dragon Yongjun; Zhong, Rui - In: Journal of financial and quantitative analysis : JFQA 59 (2024) 2, pp. 557-595
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The Fed takes on corporate credit risk : an analysis of the efficacy of the SMCCF
Gilchrist, Simon; Wei, Bin; Yue, Vivian Z.; Zakrajšek, Egon - 2024 - This version: March 2024
This paper evaluates the efficacy of the Secondary Market Corporate Credit Facility, a program designed to stabilize the U.S. corporate bond market during the COVID-19 pandemic. The program announcements on March 23 and April 9, 2020, significantly reduced investment-grade credit spreads across...
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Drivers of post-pandemic currency movement : recurring impacts of sovereign risks and oil prices
Masujima, Yuki; Sato, Yuki - 2024
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Does information environment affect information spillover between the CDS and stock markets in Korea?
Park, Heewoo; Park, Yuen Jung - In: Journal of derivatives and quantitative studies : … 32 (2024) 2, pp. 145-158
This study analyzes the impact of the information environment (IE) and credit default swap (CDS) transaction costs on information transmission between the stock and CDS markets. Using the daily regression analysis on the Korean firm's stock and CDS data from 2004 to 2023, the results show that...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10015055028
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Is climate transition risk priced into corporate credit risk? : evidence from credit default swaps
Ugolini, Andrea; Reboredo, Juan Carlos; Ojea-Ferreiro, … - In: Research in international business and finance 70 (2024) 2, pp. 1-18
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Modeling corporate CDS spreads using Markov switching regressions
Baltodano López, Ovielt; Bulfone, Giacomo; Casarin, Roberto - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 28 (2024) 2, pp. 271-292
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Modeling sovereign credit default swaps volatility at different tenures : an application for Latin American countries
Gamboa-Estrada, Fredy; Romero, José Vicente - In: Borsa Istanbul Review 24 (2024) 4, pp. 772-786
Assessing the dynamics of risk premium measures and their relationship with macroeconomic fundamentals is essential for macroeconomic policymakers and market practitioners. This study analyzes the main determinants of sovereign credit default swaps (SCDS) in Latin America at different tenures,...
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Volatility spillovers among sovereign credit default swaps of emerging economies and their determinants
Aljarba, Shumok; Naifar, Nader; Almeshal, Khalid - In: Risks : open access journal 12 (2024) 4, pp. 1-17
This paper aims to investigate the volatility spillovers among selected emerging economies' sovereign credit default swaps (SCDSs), including those of Saudi Arabia, Russia, China, Indonesia, South Africa, Brazil, Mexico, and Turkey. Using data from January 2010 to July 2023, we apply the...
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Geopolitical risk and emerging markets sovereign risk premia
Gamboa-Estrada, Fredy; Romero, José Vicente - 2024
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Geopolitical tensions and sovereign credit risks
Demiralay, Sercan; Kaawach, Said; Kilincarslan, Erhan; … - In: Economics letters 236 (2024), pp. 1-5
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Strict certainty preference in the predictive brain : a new perspective on financial innovations and their role in the real economy
Siddiqi, Hammad - In: Annals of finance 20 (2024) 2, pp. 277-287
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Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances
Afonso, António; Alves, José; Monteiro, Sofia - In: Journal of international financial markets, … 94 (2024), pp. 1-22
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Green bond issuance and credit risk : international evidence
Ballester, Laura; González-Urteaga, Ana; Shen, Long - In: Journal of international financial markets, … 94 (2024), pp. 1-22
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How does standardization affect OTC markets in the long term? : evidence from the small bang reform in the CDS market
Manac, Radu-Dragomir; Banti, Chiara; Kellard, Neil - In: Journal of international financial markets, … 96 (2024), pp. 1-16
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Public's evaluation of ESG and credit default swap : evidence from East Asian countries
Tang, Ning; Chang, Hao Wen; Lin, Chih-Yung; Lu, Chien-Lin - In: Pacific-Basin finance journal 87 (2024), pp. 1-14
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Analyzing the impact of carbon risk on firms' creditworthiness in the context of rising interest rates
Batoon, Aimee Jean; Rroji, Edit - In: Risks : open access journal 12 (2024) 1, pp. 1-21
Carbon risk, a type of climate risk, is expected to have a crucial impact, especially on high-carbon-emitting, "polluting" firms as opposed to less carbon-intensive, "clean" ones. With a rising number of actions and policies being continuously proposed to mitigate these concerns and an...
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Sovereign risk dynamics in the EU : the time varying relevance of fiscal and external (im)balances
Afonso, António; Alves, José; Monteiro, Sofia - 2024
Acknowledging the potential detrimental impact that twin-deficits may have on sovereign risk, this study uses a two-step approach to assess the impact of fiscal and external sustainability on sovereign risk dynamics for a panel of 27 European Economies between 2001Q4 and 2022Q3. To do so, we...
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Macroprudential regulation : a risk management approach
Dimitrov, Daniel; Wijnbergen, Sweder van - 2023
We address the problem of regulating the size of banks' macroprudential capital buffers by using market-based estimates of systemic risk and by developing a modeling mechanism through which capital buffers can be allocated efficiently across systemic banks. First, a Distance-to-Default type...
Persistent link: https://www.econbiz.de, ebvufind01.dmz1.zbw.eu/10013489714
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A default contagion model for pricing defaultable bonds from an information based perspective
Nakagawa, Hidetoshi; Takada, Hideyuki - In: Quantitative finance 23 (2023) 1, pp. 169-185
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Exchange rate risk and sovereign debt risk in South Africa : a regime dependent approach
Manguzvane, Mathias Mandla; Biyase, Mduduzi - 2023
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A View from Outside : Sovereign CDS Volatility as an Indicator of Economic Uncertainty
Böck (Boeck), Maximilian; Feldkircher, Martin; Raunig, … - 2023
This paper proposes the volatility of sovereign credit default swaps (CDS) as a measurement of economic uncertainty. Sovereign CDS provide protection against losses from sovereign defaults and are traded for almost all countries by the world’s largest financial institutions. The premium for...
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The Relationship between Risk Premium and Risk-Free Interest Rate : Evidence from Sovereign CDS Spreads
Jopp, Thomas; Knoll, Leonhard - 2023
The following paper addresses the question of whether the risk premium and the risk-free interest rate on the capital market tend to develop in the same or opposite direction or are to be understood as independent of each other. This fundamental consideration is not new, but has gained...
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Bank Private Information in CDS Markets
Bilan, Andrada; Ongena, Steven; Pancaro, Cosimo - 2023
Can banks trade credit default swaps (CDSs) referenced on their current corporate clients at competitive prices, or are banks penalized for potentially holding private information? To answer this question we merge CDS trades reported under the European Market Infrastructure Regulation (EMIR)...
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Performance Persistence of Credit Default Swaptions. Evidence From the USD Default Swaptions Derivative Market
Guirguis, Michel - 2023
In this article, we test performance persistence and measure the historical, the implied volatility, the credit spread volatility and the value at risk,VaR, of the credit derivatives swaptions contracts. We examine contracts of US leveraged loans, mortgage backed securities, high grade corporate...
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CDS Tranches Priced Effectively with Novel Model
Fenger, Christian - 2023
We introduce a novel model for pricing CDS tranches based on beta-distributed losses, offering a range of advantages over existing market standards, such as enhanced speed, heightened robustness, and a more intuitive interpretation of parameters. The proposed model significantly increases...
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Sovereign CDS and Currency Carry Trades
Calice, Giovanni; Lin, Ming-Tsung; Sickles, Robin C.; … - 2023
We investigate the link between sovereign credit default swaps (CDS) and currency carry trades. We demonstrate that the term structure of sovereign CDS exhibits a significant explanatory power for crash risk and currency risk. We show that global uncertainty shocks in developed economies have a...
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What Does the CDS Market Imply for a U.S. Default?
Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023
As the debt ceiling episode unfolds, we highlight a sharp increase in trading activity and liquidity in the U.S. credit default swaps (CDS) market, as well as a spike in U.S. CDS premiums. Compared with the periods leading up to the 2011 and 2013 debt ceiling episodes, we show that elevated CDS...
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Control Evolution Model of Counterparty Credit Risk Contagion Caused by Major Emergencies
Chen, Tingqiang; Chen, Tingqiang - 2023
The frequent occurrence of major emergencies causes credit default and its contagion among counterparties in the financial market, which is of great importance to the study of counterparty credit risk contagion control under the impact of major emergencies. In view of this background, this study...
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Risk retention in the European securitization market : skimmed by the skin-in-the-game methods?
Breemen, Vivian van; Schwarz, Claudia; Vink, Dennis - 2023
We empirically investigated the impact of regulatory risk retention methods on credit ratings and pricing at issuance using a sample of European securitization tranches issued in the period 2011-2021. European regulation is based on the assumption that all risk retention methods homogenously...
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Fundamentals, real-time uncertainty and CDS index spreads
Audzeyeva, Alena; Wang, Xu - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 1-33
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Sovereign Debt and Credit Default Swaps
Chaumont, Gaston; Gordon, Grey; Sultanum, Bruno; Tobin, … - 2023
ow do credit default swaps (CDS) affect sovereign debt markets? The answer depends crucially on trading frictions, risk-sharing, arbitrage violations, and spillovers from secondary to primary markets. We propose a sovereign default model where investors trade bonds and CDS over the counter via...
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