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  • Search: subject:"Credit default swap spread"
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Year of publication
Subject
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Credit default swap spread 2 Asset-Swap-Spread 1 Bank 1 CDS 1 CDS, Credit-Default-Swap-Spread, Asset-Swap-Spread, Liquiditätsprämie, CDSBond-Basis 1 CDSBond-Basis 1 Credit Default Swap 1 Credit derivative 1 Credit risk 1 Credit-Default-Swap-Spread 1 Derivat 1 Derivative 1 Europa 1 Financial crisis 1 Finanzkrise 1 Finanzmarktkrise 1 Finanzsektor 1 Firm performance 1 Kreditderivat 1 Kreditrisiko 1 Kreditversicherung 1 Liquiditätsprämie 1 Macroeconomic conditions 1 Marktliquidität 1 Risikoprämie 1 Schätzung 1 Sovereign credit default swap spread 1 Structural models 1 Unternehmenserfolg 1 credit rating 1 lead-lag relationship 1 macroeconomy 1 option-implied volatility 1 price 1 risk 1
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Online availability
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Free 5
Type of publication
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Book / Working Paper 3 Article 2
Type of publication (narrower categories)
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Article in journal 1 Aufsatz in Zeitschrift 1 Working Paper 1
Language
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German 2 Undetermined 2 English 1
Author
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Birkmeyer, Jörg 2 Heidorn, Thomas 2 Rogalski, André 2 Amadori, Maria Chiara 1 Bekkour, Lamia 1 Fu, Xiaoqing 1 Lehnert, Thorsten 1 Li, Matthew C. 1 Liu, Yang 1 MORLEY, BRUCE 1 Molyneux, Philip 1
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Institution
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Frankfurt School of Finance and Management 1 Luxembourg School of Finance, Faculté de droit, d'économie et de finance 1
Published in...
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Frankfurt School - Working Paper Series 2 Brussels Economic Review 1 Empirical economics : a quarterly journal of the Institute for Advanced Studies 1 LSF Research Working Paper Series 1
Source
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RePEc 3 ECONIS (ZBW) 1 EconStor 1
Showing 1 - 5 of 5
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Credit default swap spreads : market conditions, firm performance, and the impact of the 2007-2009 financial crisis
Fu, Xiaoqing; Li, Matthew C.; Molyneux, Philip - In: Empirical economics : a quarterly journal of the … 60 (2021) 5, pp. 2203-2225
Persistent link: https://www.econbiz.de/10012585554
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SOVEREIGN CREDIT RATINGS, THE MACROECONOMY AND CREDIT DEFAULT SWAP SPREADS
Liu, Yang; MORLEY, BRUCE - In: Brussels Economic Review 56 (2013) 3-4, pp. 335-348
ABSTRACT:The aim of this study is to determine the main factors affecting sovereign credit default swap(CDS) spreads, with particular emphasis on the relationship between the credit rating scores andthe CDS spreads. Other macroeconomic affects are also included in the estimation which usespanel...
Persistent link: https://www.econbiz.de/10011015280
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The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps
Bekkour, Lamia; Lehnert, Thorsten; Amadori, Maria Chiara - Luxembourg School of Finance, Faculté de droit, … - 2011
In this study, we investigate the dynamics behind informed investors trading decisions among European stock, options and credit default swap markets. This allows us to identify the predictive explanatory power of the unique information contained in each market with respect to future stock, CDS...
Persistent link: https://www.econbiz.de/10010900062
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Determinanten von Banken-Spreads während der Finanzmarktkrise
Heidorn, Thomas; Birkmeyer, Jörg; Rogalski, André - 2010
Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment der Banken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden die Determinanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewählter europäischer Banken im Zeitraum April...
Persistent link: https://www.econbiz.de/10010300717
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Cover Image
Determinanten von Banken-Spreads während der Finanzmarktkrise
Heidorn, Thomas; Birkmeyer, Jörg; Rogalski, André - Frankfurt School of Finance and Management - 2010
Welche Einflussfaktoren bestimmen die Spreadentwicklung im Kapitalmarktsegment der Banken im Verlauf der Finanzkrise? Unter Verwendung der Regressionsanalyse werden die Determinanten von Asset-Swap- (ASW) und Credit-Default-Swap- (CDS) Spreads ausgewählter europäischer Banken im Zeitraum April...
Persistent link: https://www.econbiz.de/10008554285
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