This study investigates the relationship between the geopolitical risk in Turkey arising out of the war and terror incidents happened in the region during the period 2003:01-2020:06 with the CDS premium. A two-step approach is undertaken for this assessment, in which an ARDL limit test and then...

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)...

I present an analytical formula for the value of the jth tranche (of N tranches) that grants the holder ownership of the jth bond to default for the simplest case of a collateralized debt obligation (CDO) backed by N (typically 125 for many actual securities) zero-coupon bonds that all have the...

We study whether climate transition risk is reflected in the credit default swap (CDS) spreads of firms. Using information on the vulnerability of a firm’s value to the transition to a low carbon economy, we construct a climate transition risk (CTR) factor, and document how this factor shifts...

We study the co-movement of credit and equity markets in four Asia-Pacific countries at firmand index level. First, we establish realized volatility as an important determinant of CDS spreadlevels and changes. Second, we examine lead-lag relationships between CDS spreads, volatility and stock...

The inefficient pricing of the CDS (credit default swap) market has been considered as one of the main causes of the Global Financial Crisis. As price discovery is theoretically related to liquidity, this has been considered a source of mispricing in this over-the-counter market. However the CDS...