Narrow search
Showing 1 - 10 of 92,274
Cover Image
Credit risk and the yen interest rate swap market
Eom, Young Ho; Subrahmanyam, Marti G.; Uno, Jun - 2000
measures of the spreads of the swap rates over comparable Japanese Government Bonds (JGBs) for different maturities and analyze … the relationship between the swap spreads and credit risk variables.(...) …
Persistent link: https://www.econbiz.de/10005846834
Cover Image
The Credit Default Swap (CDS) Market
Bouveret, Antoine - 2010
One of the earliest signs of the financial crisis in summer 2007 was the plunge in the indicaaes compiled from credit default swaps (CDSs) on a basket of subprime backed bonds. Recently, the worsening situation in the emerging countries has been perceptible in the steep rise of CDS spreads on...
Persistent link: https://www.econbiz.de/10013150711
Cover Image
Spread Risk Premia in Corporate Credit Default Swap Markets
Entrop, Oliver - 2016
The spread risk premium component of credit default swap (CDS) spreads represents a compensation demanded by protection …
Persistent link: https://www.econbiz.de/10013008411
Cover Image
Analyzing Credit Risk in Default Swap Transaction Data : Is Fixed-Income Markets’ Information Sufficient to Evaluate Credit Risk?
Cossin, Didier; Hricko, Tomas; Aunon-Nerin, Daniel; … - Institut für Schweizerisches Bankwesen <Zürich>; … - 2003
We investigate the influence of various variables on credit default swap transaction data. Credit derivatives are …
Persistent link: https://www.econbiz.de/10005859382
Cover Image
Variance risk premiums in foreign exchange markets
Ammann, Manuel; Buesser, Ralf - 2013
Based on the theory of static replication of variance swaps we assess the sign and magnitude of variance risk premiums in foreign exchange markets. We find significantly negative risk premiums when realized variance is computed from intraday data with low frequency. As a likely consequence of...
Persistent link: https://www.econbiz.de/10010410031
Cover Image
The Dynamics of Sovereign Yields Over Swap Rates in the Eurozone Market
David-Pur, Lior - 2020
We explore the dynamics of the adjusted swap spread (calculated as the difference between the swap rate and sovereign … yields over the credit default swap premium) in the Eurozone market by studying three markets simultaneously: 1) sovereign … bonds, 2) credit default swaps (CDS), and 3) swap rates. We find a strong relationship between the markets. Specifically …
Persistent link: https://www.econbiz.de/10012824253
Cover Image
Recent Developments in Financial Economics and Econometrics: An Overview
Chang, Chia-Lin; Allen, David; McAleer, Michael - 2013
Research papers in empirical finance and financial econometrics are among the most widely cited, downloaded and viewed articles in the discipline of Finance. The special issue presents several papers by leading scholars in the field on “Recent Developments in Financial Economics and...
Persistent link: https://www.econbiz.de/10010326212
Cover Image
Recent developments in financial economics and econometrics : an overview
Chang, Chia-Lin; Allen, David E.; McAleer, Michael - 2013
Persistent link: https://www.econbiz.de/10009724823
Cover Image
Why do investors buy sovereign default insurance?
Augustin, Patrick; Sokolovski, Valeri; Subrahmanyam, … - 2016
We provide a comprehensive analysis of the determinants of trading in the sovereign credit default swaps (CDS) market, using weekly data for single-name sovereign CDS from October 2008 to September 2015. We describe the anatomy of the sovereign CDS market, derive a law of motion for gross...
Persistent link: https://www.econbiz.de/10011541398
Cover Image
Rollover Risk and Corporate Bond Spreads
Valenzuela, Patricio - 2011
Using a novel data set and new proxies for rollover losses and market illiquidity, this paper finds that market illiquidity affects corporate bond spreads beyond a liquidity premium through a “rollover risk channel”. This effect is economically significant during episodes of market...
Persistent link: https://www.econbiz.de/10013128430