Search Results - subject:"Collateralized debt obligation"

Does banks size distort market prices? : evidence for too-big-to-fail in the CDS market

Völz, Manja; Wedow, Michael - 2009

This paper examines the potential distortion of prices in the CDS market caused by too-big-to-fail. Overall, we find evidence for market discipline in the CDS market. However, CDS prices are distorted due to a size effect which arises when investors expect a public bail-out as a result of...

Persistent link: https://www.econbiz.de/10003846898

Has the CDS market lowered the cost of corporate debt?

Ashcraft, Adam B.; Santos, João A. C. - In: Journal of monetary economics 56 (2009) 4, pp. 514-523

Persistent link: https://www.econbiz.de/10003850585

Kreditderivate : Gestaltungsmöglichkeiten, bankenaufsichtsrechtliche Behandlung und der Handel mittelständischer Kreditrisiken

Sievers, Maren - 2009 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003853807

The determinants of credit default swap premia

Ericsson, Jan; Jacobs, Kris; Oviedo, Rodolfo - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 1, pp. 109-132

Persistent link: https://www.econbiz.de/10003854347

Implied Ratings in der Finanzkrise : CDS-Spreads und ihr Potenzial für die regulatorische und angewandte Bankpraxis

Freter, André; Knoth, Hans - In: Risiko-Manager (2009) 14, pp. 1,6-9

Persistent link: https://www.econbiz.de/10003854695

Counterparty risk for credit default swaps : Markov chain interacting intensities model with stochastic intensity

Leung, Kwai Sun; Kwok, Yue-Kuen - In: Asia-Pacific financial markets 16 (2009) 3, pp. 169-181

Persistent link: https://www.econbiz.de/10003882797

Advances in the pricing of collateralized debt obligations

Brommundt, Bernd Michael - 2009

Persistent link: https://www.econbiz.de/10003884149

Structured credit products and the 2007 financial crisis

Breinlinger, Luise; Fortin, Ines - In: Wirtschaftspolitische Blätter : österreichische … 56 (2009) 3, pp. 305-320

Persistent link: https://www.econbiz.de/10003884521

Central counterparties for over-the-counter derivatives

Cecchetti, Stephen G.; Gyntelberg, Jacob; Hollanders, Marc - In: BIS quarterly review : international banking and … (2009), pp. 45-58

Persistent link: https://www.econbiz.de/10003884971

Price calibration and hedging of correlation dependent credit derivatives using a structural model with α-stable distributions

Papenbrock, Jochen; Račev, Svetlozar T.; … - In: Applied financial economics 19 (2009) 16/18, pp. 1401-1416

The emergence of Credit Default Swap (CDS) indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk...

Persistent link: https://www.econbiz.de/10003886215