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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

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

Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets' Information Sufficient to Evaluate Credit Risk?

Aunon-Nerin, Daniel; Cossin, Didier; Hricko, Tomas; … - 2002

This paper invesitigates the influence of various fundamental variables on a cross-section of credit default swap …

Persistent link: https://www.econbiz.de/10005843402

Basis Risk in Hedging a CDS Portfolio with Credit Indices

Chamizo, Alvaro - 2017

The financial crisis has raised concerns throughout the industry on the possibility that hedging credit valuation adjustment (CVA) might become increasingly difficult should the long-standing correlation between singlename and index CDS products break down. So, we provide an estimation of the...

Persistent link: https://www.econbiz.de/10012970402

Basis Risk When Hedging a Global Credit Portfolio

Chamizo, Alvaro - 2017

The calculation of the capital charge for CVA risk, as required by the Basel Committee on Banking Supervision, is usually rather unstable due to the volatility of CDS spreads. Since credit derivatives on single names are not very liquid, the implied adjustments in capital charges could be...

Persistent link: https://www.econbiz.de/10012944310

Irreducible Risks of Hedging a Bond with a Default Swap

Kapoor, Vivek - 2019

This paper analyzes the effectiveness of hedging a defaultable bond, that may not be at par, with a credit default swap …

Persistent link: https://www.econbiz.de/10012868327

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

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

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

Arbitrage-free models of stocks and bonds

Durham, J. Benson - 2013

A small but ambitious literature uses affine arbitrage-free models to estimate jointly U.S. Treasury term premiums and the term structure of equity risk premiums. Within this approach, this paper identifies the parameter restrictions that are consistent with a simple dividend discount model,...

Persistent link: https://www.econbiz.de/10010222892

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