The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

Purpose – The aim of this paper is to study the impact of equity returns volatility of reference entities on credit-default swap rates using a new dataset from the Japanese market. Design/methodology/approach – Using a copula approach, the paper models the different relationships that can...

The aim of this paper is to study the impact of structure of dependency on the pricing of multi-name credit derivatives such as collateralised debt obligations (CDO). The correlation between names defaulting has an effect on the value of the basket credit derivatives. We present a copula based...

The aim of this paper is to study the impact of Stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based...

The aim of this paper is to explain empirically the determinants of credit default swap rates using a linear regression. We document that the majority of variables, detected from the credit risk pricing theories, explain more than 60% of the total level of credit default swap. These theoretical...

The central cause of all recent financial crises (including the Asian financial crisis, the European debt crisis, and the subprime mortgage crisis) was the debt crisis. The primary objective of this study is to examine the principles of risk-sharing promoted by Islamic finance as a possible...

The investment concept of sukuk was created as an alternative to conventional bonds since interest-bearing instruments are prohibited under Islamic law. Sukuk (commonly referred to Islamic bonds) represent a proportional ownership of tangible assets or a pool of assets. However, the key to...

This article tests four hypotheses (signalling, market tendency, market characteristics and the ex ante uncertainty and information asymmetry) to explain the initial public offerings (IPOs) underpricing in the Tunisian market. Most of the empirical studies focus mainly on developed markets and...

The recent financial crises (including the Asian and subprime crises) indicated the need to reinforce corporate governance mechanisms in emerging and developing market economies. Corporate governance refers to all the factors that affect firm processes (including, among others, financing...

This paper investigates the impact of the Subprime crisis on the Credit Default Swap (CDS) market. The Subprime crisis presents a serious risk to global financial markets. The Japanese credit markets faces growing bank losses and a cruel market environment accompanied by a slowing economy and...