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Year of publication
Subject
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Credit derivative 1,184 Kreditderivat 1,184 Kreditrisiko 362 Credit risk 354 USA 225 United States 223 Finanzkrise 194 Financial crisis 193 Theorie 165 Theory 165 Credit insurance 152 Kreditversicherung 152 Derivat 142 Derivative 142 Risikoprämie 125 Risk premium 125 Welt 122 World 122 Yield curve 94 Zinsstruktur 94 Estimation 91 Schätzung 91 Country risk 79 Länderrisiko 79 Eurozone 72 Börsenkurs 71 Euro area 70 Share price 70 EU countries 69 EU-Staaten 69 Public bond 63 Öffentliche Anleihe 63 Credit default swaps 60 Swap 59 Credit rating 58 Kreditwürdigkeit 58 Volatility 58 Volatilität 57 Corporate bond 56 Unternehmensanleihe 56
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Online availability
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Free 326 Undetermined 33
Type of publication
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Article 732 Book / Working Paper 461
Type of publication (narrower categories)
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Article in journal 655 Aufsatz in Zeitschrift 655 Graue Literatur 366 Non-commercial literature 366 Working Paper 321 Arbeitspapier 320 Hochschulschrift 85 Aufsatz im Buch 78 Book section 78 Thesis 73 Collection of articles written by one author 26 Sammlung 26 Collection of articles of several authors 25 Sammelwerk 25 Conference paper 7 Konferenzbeitrag 7 Aufsatzsammlung 4 Lehrbuch 4 Case study 3 Fallstudie 3 Glossar enthalten 2 Glossary included 2 Konferenzschrift 2 Mehrbändiges Werk 2 Multi-volume publication 2 Systematic review 2 Übersichtsarbeit 2 Amtsdruckschrift 1 Government document 1 Guidebook 1 Handbook 1 Handbuch 1 Mikroform 1 Ratgeber 1
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Language
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English 1,092 German 84 French 6 Undetermined 5 Spanish 3 Italian 2 Polish 1 Portuguese 1
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Author
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Scheicher, Martin 13 Zhang, Gaiyan 13 Zhu, Haibin 12 Byström, Hans N. E. 11 Zhou, Hao 11 Coudert, Virginie 10 Gex, Mathieu 10 Fabozzi, Frank J. 9 Gündüz, Yalın 9 Tang, Dragon Yongjun 9 Bolton, Patrick 8 Heidorn, Thomas 8 Brigo, Damiano 7 Gehde-Trapp, Monika 7 Huizinga, Harry 7 Kiesel, Florian 7 Schiereck, Dirk 7 Schnabel, Isabel 7 Bielecki, Tomasz R. 6 Calice, Giovanni 6 Chiarella, Carl 6 Fender, Ingo 6 Gałkiewicz, Dominika 6 Hasan, Iftekhar 6 Herbertsson, Alexander 6 Huang, Xin 6 Marsh, Ian 6 Norden, Lars 6 Peña Sánchez de Rivera, Juan Ignacio 6 Schäfer, Alexander 6 Stulz, René M. 6 Wojtowicz, Marcin 6 Augustin, Patrick 5 Fostel, Ana 5 Geanakoplos, John 5 Gouriéroux, Christian 5 Hull, John 5 Härdle, Wolfgang 5 Mayordomo, Sergio 5 Naifar, Nader 5
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Institution
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Duale Hochschule Baden-Württemberg Stuttgart 3 Springer Fachmedien Wiesbaden GmbH 3 Verlag Dr. Kovač 3 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 3 Basel Committee on Banking Supervision 2 Mohr Siebeck GmbH & Co. KG 2 Shaker Verlag GmbH 2 Bank für Internationalen Zahlungsausgleich / Committee on the Global Financial System 1 Books on Demand GmbH <Norderstedt> 1 Centre for Analytical Finance <Århus> 1 Europäische Kommission 1 Frankfurt School of Finance and Management 1 Friedrich-Schiller-Universität Jena 1 Friedrich-Schiller-Universität Jena / Rechtswissenschaftliche Fakultät 1 Nationalekonomiska Institutionen <Lund> 1 Nomos Verlagsgesellschaft 1 W. Kohlhammer GmbH 1 Wiley-VCH 1
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Published in...
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The journal of structured finance 46 Journal of banking & finance 31 Working paper / National Bureau of Economic Research, Inc. 22 International journal of theoretical and applied finance 21 Discussion paper / Centre for Economic Policy Research 18 The journal of credit risk : published quarterly by Incisive Media 18 The review of financial studies 18 Journal of international financial markets, institutions & money 15 The journal of fixed income 15 The journal of futures markets 15 International review of financial analysis 14 Journal of empirical finance 14 SFB 649 discussion paper 11 Journal of financial and quantitative analysis : JFQA 10 Journal of risk finance : the convergence of financial products and insurance 10 Staff reports / Federal Reserve Bank of New York 10 The journal of finance : the journal of the American Finance Association 10 Applied financial economics 9 Discussion paper / Deutsche Bundesbank 9 Financial stability review : FSR 9 The journal of derivatives : the official publication of the International Association of Financial Engineers 9 Working papers / Department of Economics, Lund University 9 Discussion paper / Tinbergen Institute 8 Journal of financial economics 8 Journal of international money and finance 8 Research paper series / Swiss Finance Institute 8 Working paper series / European Central Bank 8 BIS working papers 7 Discussion paper / 2 / Deutsche Bundesbank 7 IMF working papers 7 Journal of financial stability 7 Time for a visible hand : lessons from the 2008 world financial crisis 7 Applied economics 6 BIZ-Quartalsbericht 6 Bank of Finland research discussion papers 6 Economic modelling 6 Finance and economics discussion series 6 Finance and stochastics 6 Finance research letters 6 IMF working paper 6
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Source
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ECONIS (ZBW) 1,186 RePEc 6 EconStor 1
Showing 1 - 50 of 1,193
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Money markets, collateral and monetary policy
De Fiore, Fiorella; Uhlig, Harald - 2019
Interbank money markets have been subject to substantial impairments in the recent decade, such as a decline in unsecured lending and substantial increases in haircuts on posted collateral. This paper seeks to understand the implications of these developments for the broader economy and monetary...
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Money markets, collateral and monetary policy
De Fiore, Fiorella; Uhlig, Harald - 2018
Persistent link: https://ebtypo.dmz1.zbw/10011980019
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High dimensional financial engineering: dependence modeling and sequential surveillance
Xu, Yafei - 2018
Persistent link: https://ebtypo.dmz1.zbw/10012063967
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Essays on financial frictions in lending markets
Daetz, Stine Louise - 2018 - 1st edition
The first essay shows that corporate bond issuers derive value from bond underwriter relationship capital. A strong underwriter relationship enables the underwriter to credibly certify the issuer on the bond market which is fundamental for firms when issuing new debt and refinancing maturing...
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Essays on corporate loans and credit risk
Mølgaard, Pia - 2018 - 1st edition
Classical asset pricing theory assumes \perfect markets" which means that nancial markets are frictionless. However, in the real world nancial frictions exists. Recently the nancial literature has focused more on these frictions and on how they a ect asset prices. This thesis contributes to the...
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Persistent link: https://ebtypo.dmz1.zbw/10012132198
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Capital structure arbitrage under a risk-neutral calibration
Zeitsch, Peter J. - In: Journal of risk and financial management : JRFM 10 (2017) 1, pp. 1-23
By reinterpreting the calibration of structural models, a reassessment of the importance of the input variables is undertaken. The analysis shows that volatility is the key parameter to any calibration exercise, by several orders of magnitude. To maximize the sensitivity to volatility, a simple...
Persistent link: https://ebtypo.dmz1.zbw/10011619118
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Are sovereign credit ratings overrated
Kunovac, Davor; Ravnik, Rafael - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011601172
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Systemic risk in the European financial and energy sector : dynamic factor copula approach
Nevrla, Matej - 2017
In this paper, we perform analysis of systemic risk in the financial and energy sector in Europe. In our investigation, we work with daily time series of CDS spreads. We employ factor copula model with GAS dynamics of Oh and Patton (2016) for estimation purposes of dependency structures between...
Persistent link: https://ebtypo.dmz1.zbw/10011659313
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CDS and credit : testing the small bang theory of the financial universe with micro data
Gündüz, Yalın; Ongena, Steven; Tümer-Alkan, Günseli; … - 2017
Does hedging motivate CDS trading and does that affect the availability of credit? To answer these questions we couple comprehensive bank-firm level CDS trading data from the Depository Trust and Clearing Corporation with the German credit register containing bilateral bank-firm credit...
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Persistent link: https://ebtypo.dmz1.zbw/10011663406
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The changing international network of sovereign debt and financial institutions
Dungey, Mardi H.; Harvey, John - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011710864
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Signed spillover effects building on historical decompositions
Dungey, Mardi H.; Harvey, John; Siklos, Pierre L.; … - 2017
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Persistent link: https://ebtypo.dmz1.zbw/10011710991
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Global collateral : how financial innovation drives capital flows and increases financial instability
Fostel, Ana; Geanakoplos, John; Phelan, Gregory - 2017 - This version: February 4, 2017
Persistent link: https://ebtypo.dmz1.zbw/10011647657
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Empty creditors and strong shareholders : the real effects of credit risk trading ; fourth draft
Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca - 2017 - This draft: May 17, 2017
Credit derivatives allow creditors to transfer debt cash flow rights to other market participants while retaining control rights. Theory predicts that this transfer can create empty creditors that do not fully internalize liquidation costs and liquidate borrowers excessively often. This empty...
Persistent link: https://ebtypo.dmz1.zbw/10011654225
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Liquidity premia in CDS markets
Kamga, Merlin Kuate; Wilde, Christian - 2017
We develop a state-space model to decompose bid and ask quotes of CDS into two components, fair default premium and liquidity premium. This approach gives a better estimate of the default premium than mid quotes, and it allows to disentangle and compare the liquidity premium earned by the...
Persistent link: https://ebtypo.dmz1.zbw/10011698857
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Measuring the systemic importance of banks
Moratis, Georgios; Sakellarēs, Plutarchos - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011781989
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Credit default swaps, agency problems, and management incentives
Lee, Jongsub; Oh, Junho; Yermack, David L. - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011782646
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CoCo issuance and bank fragility
Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick; … - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011817175
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Entwicklung eines quantitativen Modells zur Spread-Prognose von Credit Default Swaps am Beispiel von Banken
Birk, Sina - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011805892
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Can the adoption of the euro in Croatia reduce the cost of borrowing?
Kunovac, Davor; Pavić, Nina - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011871537
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CoCo issuance and bank fragility
Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick; … - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011761789
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CoCo issuance and bank fragility
Avdjiev, Stefan; Bogdanova, Bilyana; Bolton, Patrick; … - 2017
Persistent link: https://ebtypo.dmz1.zbw/10011772178
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Essays on asset pricing with financial frictions
Klingler, Sven - 2017 - 1st edition
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Persistent link: https://ebtypo.dmz1.zbw/10011823807
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Corporate debt valuation with CCA
Crouhy, Michel (ed.); Galai, Dan (ed.); Wiener, Zvi (ed.) - 2019
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Asymmetric cost behavior : implications for the credit and financial risk of a firm
Reimer, Kristina - 2019
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Persistent link: https://ebtypo.dmz1.zbw/10011868732
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Credit Default Swaps : Handelsstrategien, Bewertung und Regulierung
Felsenheimer, Jochen; Klopfer, Wolfgang; Altenstadt, … - 2019 - 1. Auflage
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Die Prognose von Credit-Default-Swap-Spreads mit linearen Zustandsraummodellen
2019
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Persistent link: https://ebtypo.dmz1.zbw/10012098509
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Dynamics of the European sovereign bonds and the identification of crisis periods
Chen, Zhenxi; Reitz, Stefan - 2016 - Version: Dec 2015
We develop an empirical model of heterogeneous agents to study the dynamics of the European sovereign bonds market. Agents make use of different information from the CDS market and the historical price movements of the sovereign bonds for their trading decisions. Subject to the perceived risk,...
Persistent link: https://ebtypo.dmz1.zbw/10011415549
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Spillover effects of credit default risk in the euro area and the effects on the euro : a GVAR approach
Bettendorf, Timo - 2016
During the 2008 financial crisis, increasing risk and spillovers became a main concern for policy makers and banks. In addition, changes in sovereign and bank risk are believed to have had strong effects on world-wide exchange rates. This paper aims to analyze these dynamics empirically. We...
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Essays on the determinants of corporate bond yield spreads
Bethke, Sebastian - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011674497
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Credit default swaps and bank loan sales : evidence from bank syndicated lending
Hasan, Iftekhar; Wu, Deming - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011475624
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How large banks use CDS to manage risks : Bank-firm-level evidence
Hasan, Iftekhar; Wu, Deming - 2016
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Persistent link: https://ebtypo.dmz1.zbw/10011475630
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Securitization market in India & analysis of structured products
Mantri, Anand; Sarda, Himanshu - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011450995
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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://ebtypo.dmz1.zbw/10011541398
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The effect of credit and rating events on credit default swap and equity markets
Kiesel, Florian - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011526590
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Impacts of credit default swaps on volatility of the exchange rate in Turkey : the case of Euro
Kar, Muhsin; Bayat, Tayfur; Kayhan, Selim - In: International Journal of Financial Studies : open … 4 (2016) 3, pp. 1-18
In this study, we aim to investigate the impacts of credit default swaps (CDS) premium as a risk financial indicator on the fluctuations of value of the Turkish lira against the Euro. We try to answer the following questions: Is the CDS premium change among the drivers of EUR/TL exchange rate...
Persistent link: https://ebtypo.dmz1.zbw/10011526794
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Score-driven systemic risk signaling for European sovereign bond yields and CDS spreads
Lange, Rutger-Jan; Lucas, André; Siegmann, Adriaan Hendrik - 2016
We compute joint sovereign default probabilities as coincident systemic risk indicators. Instead of commonly used CDS spreads, we use government bond yield data which provide a longer data history. We show that for the more recent sample period 2008--2015, joint default probabilities based on...
Persistent link: https://ebtypo.dmz1.zbw/10011531096
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My credit but your problem: the real effects of credit risk trading
Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca - 2016
Creditors are increasingly transferring debt cash flow rights to other market participants while retaining control rights. We use the market for credit default swaps (CDSs) as a laboratory to show that such debt decoupling causes large adverse effects on firms whose shareholders have high...
Persistent link: https://ebtypo.dmz1.zbw/10011445695
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Empty creditors and strong shareholders : the real effects of credit risk trading ; second draft
Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca - 2016 - Second draft: May 31, 2016
Credit derivatives give creditors the possibility to transfer debt cash flow rights to other market participants while retaining control rights. We use the market for credit default swaps (CDSs) as a laboratory to show that the real effects of such debt unbundling crucially hinge on shareholder...
Persistent link: https://ebtypo.dmz1.zbw/10011489100
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Essays on banking sector’s dynamics, expectations, preferences and impact
Polat, Tandoğan - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011489439
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What drives the relationship between bank and sovereign credit risk?
Schnabel, Isabel; Schüwer, Ulrich - 2016
The positive relationship between bank and sovereign credit risk in the Eurozone, the so-called sovereign-bank nexus, is seen as a major threat for the stability of the Eurozone. This paper explores potential bank-level and country-level drivers of this relationship. We find that banks' home...
Persistent link: https://ebtypo.dmz1.zbw/10011559528
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Do rare events explain CDX tranche spreads?
Seo, Sang Byung; Wachter, Jessica - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011563045
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Trends in credit market arbitrage
Boyarchenko, Nina; Gupta, Pooja; Steele, Nick; Yen, … - 2016 - Revised July 2016
Market participants and policymakers alike were surprised by the large, prolonged dislocations in credit market arbitrage trades during the second half of 2015 and the first quarter of 2016. In this paper, we examine three explanations proposed by market participants: increased idiosyncratic...
Persistent link: https://ebtypo.dmz1.zbw/10011515933
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Dynamic credit default swaps curves in a network topology
Xu, Xiu; Chen, Cathy Yi-Hsuan; Härdle, Wolfgang - 2016
Systemically important banks are connected and have dynamic dependencies of their default probabilities. An extraction of default factors from cross-sectional credit default swaps (CDS) curves allows to analyze the shape and the dynamics of the default probabilities. Extending the Dynamic Nelson...
Persistent link: https://ebtypo.dmz1.zbw/10011579056
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A note on credit spread forwards
Hertrich, Markus - In: Journal of advanced studies in finance : JASF 7 (2016) 1/13, pp. 77-78
Persistent link: https://ebtypo.dmz1.zbw/10011720963
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The real effects of credit default swaps
Danis, András; Gamba, Andrea - 2016 - Last revised: 5 Dec 2016
Persistent link: https://ebtypo.dmz1.zbw/10011659542
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Empty creditors and strong shareholders : the real effects of credit risk trading ; third draft
Colonnello, Stefano; Efing, Matthias; Zucchi, Francesca - 2016 - This draft: October 16, 2016
Credit derivatives give creditors the possibility to transfer debt cash flow rights to other market participants while retaining control rights. We use the market for credit default swaps (CDSs) as a laboratory to show that the real effects of such debt unbundling crucially hinge on shareholder...
Persistent link: https://ebtypo.dmz1.zbw/10011547110
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An empirical analysis of sovereign credit risk co-movement between Japan and ASEAN countries
Boonlert Jitmaneeroj; Ogwang, John - In: Journal of economics and behavioral studies : JEBS 8 (2016) 4, pp. 6-16
Persistent link: https://ebtypo.dmz1.zbw/10011650028
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Intraday dynamics of Euro area sovereign credit risk contagion
Komárek, Luboš; Ters, Kristyna; Urban, Jörg - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011778677
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Do rare events explain CDX tranche spreads?
Seo, Sang Byung; Wachter, Jessica - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011843791
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The front men of Wall Street : the role of CDO collateral managers in the CDO boom and bust
Chernenko, Sergey - 2016
Persistent link: https://ebtypo.dmz1.zbw/10011772261
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