We investigate the influence of various fundamental variables on a cross-section of credit default swap transaction data. Credit default swap rates can be seen as a superior proxy to credit risk than bond spreads are. Because we have transaction prices rather than quotes, we have thus...

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap transaction data.

We investigate the influence of various fundamental variables on a cross-section of credit default swap transaction data. Credit default swap rates can be seen as a superior proxy to credit risk than bond spreads are. Because we have transaction prices rather than quotes, we have thus...

We investigate the influence of various fundamental variables on a cross-section of credit default swap rates. Credit default swap rates can be seen as an alternative proxy for credit risk. Therefore our findings are relevant not only for the understanding of credit default swaps but for credit...

Companies need to decide on the optimal amounts of cash to hold. Although this problem has long been acknowledged as a major issue for corporations, new advances in the finance literature have not been fully implemented in this area. We propose here what we believe is the first modelization of a...

We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are arguably a superior proxy to credit risk than bond spreads. The variables considered include fixed-income as well as equity markets data. We thus provide an international analysis of...

Although many credit risk pricing models exist in the academic literature, very little attention has been paid to the impact of risky collateral on credit risk. It is nonetheless well known that practitioners often mitigate credit risk with collateral, using so-called haircuts for collateral...