Search Results - subject:"Default Probabilities"

The 2025 U.S. debt limit through the lens of financial markets

Benzoni, Luca; Wernick, Marisa - 2025 - This draft: May 27, 2025

We examine the 2025 U.S. debt limit episode through the lens of financial markets. First, we document an increase in trading activity in the U.S. sovereign CDS market, and we infer a probability of default from CDS premiums. We find that default risk reached 1% by the November 6 Presidential...

Persistent link: https://www.econbiz.de/10015407927

A credit spread decomposition : a resolution of the credit spread puzzle

Jarrow, Robert A. - 2024

Persistent link: https://www.econbiz.de/10015399494

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 activity across the U.S. credit default swaps (CDS) market and infer the likelihood of a U.S. default from these market prices. Beginning in January 2023, we document a significant increase in U.S. CDS trading activity and...

Persistent link: https://www.econbiz.de/10014480354

What does the CDS market imply for a U.S. default?

Benzoni, Luca; Cabanilla, Christian; Cocco, Alessandro; … - 2023 - Revised: May 17, 2023

Persistent link: https://www.econbiz.de/10014249852

Empirically Effective Government and Corporate Bond Pricing Models : Yield Curves and Default Curves

Kariya, Takeaki; Yamamura, Yoshiro - 2025

default probabilities (TSDP), which prices credit default swap (CDS). And in view of data science, the empirical effectiveness … and USGB Pricing Models -- Empirical Effectiveness of K0-Yield Curve -- KCB Model and Term Structure of Default … Probabilities (TSDP) -- Credit Risk Analyses on Japanese CBs and Default Curves -- Credit Risk Analyses on CB Prices in the US …

Persistent link: https://www.econbiz.de/10015408965

Credit risk correlation and the cost of bank loans

Javadi, Siamak; Osah, Theophilus Teye - In: Financial management : FM 53 (2024) 4, pp. 795-832

Persistent link: https://www.econbiz.de/10015130700

Ascertaining the inference of bank internal default probabilities variations on variable rate institutional loan prepayments

Horovitz, Andre - In: The Quarterly Journal of Finance : QJF 13 (2023) 2, pp. 1-44

Persistent link: https://www.econbiz.de/10014442255

Credit risk : simple closed-form approximate maximum likelihood estimator

Deo, Anand; Juneja, Sandeep - In: Operations research 69 (2021) 2, pp. 361-379

Persistent link: https://www.econbiz.de/10012533534

Firm size and the interlinkages between sales volatility, exports, and financial stability of Pakistani manufacturing firms

Rashid, Abdul; Hassan, M. Kabir; Karamat, Hafsa - In: Eurasian business review 11 (2021) 1, pp. 111-134

Persistent link: https://www.econbiz.de/10012495419

A hybrid model to estimate corporate default probabilities in China based on zero-price probability model and long short-term memory

Jing, Jiabao; Yan, Wenwen; Deng, Xiaomei - In: Applied economics letters 28 (2021) 5, pp. 413-420

Persistent link: https://www.econbiz.de/10012485042