credit default swap
The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds
... Credit default swap(CDS) is a new developed derivative to insure the credit risk of an underlying ...implied default-free rate(also called benchmark rate) of CDS market is computed; its ...
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Valuation of Credit Default Swap with Counterparty Default Risk by Structural Model
... of credit default ...vanilla credit default swap when there is no counterparty default ...the default probabilities at different future times from the yields on bonds ...
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The Housing Market and the Credit Default Swap premium in the UK Banking Sector: A VAR Approach
... the Credit Default Swap premium in the UK banking sector for the period January 2004-April ...of default risk, as shown in the insignificant response in the short ...
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Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
... of credit default swap (CDS) in the fractional dimension ...the default intensity of a firm depends on the default states of coun- terparty firms and the term structure of interest ...
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Trading strategies with implied forward credit default swap spreads
... hazard default rate, reported in Table 5, show that before the crisis most trading inefficiencies could be found for companies rated A or BBB, where a negative mean NCPL is re- ported for all ...therefore ...
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How the Subprime Crisis went global: Evidence from bank credit default swap spreads
... How did the Subprime Crisis, a problem in a small corner of U.S. …nancial markets, a¤ect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in ...
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Pricing Credit Default Swap under Fractional Vasicek Interest Rate Model
... manage credit risk effectively. Since credit default swap (CDS) appeared, it soon became one of the most im- portant derivatives to manage credit risk because of its great ...of ...
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2008 SEC short selling ban: impacts on the credit default swap market
... On September 17, 2008, the Securities and Exchange Commission (SEC) issued an emergency order banning the shorting of 797 financial stocks. This paper studies the impact of the short selling ban on the credit ...
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Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... define credit spreads in this case as the difference between the yield of bond i and the associated yield of the Treasury curve at the same maturity (Collin-Dufresne et al ...a credit default ...
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ANALISA SOVEREIGN RISK NEGARA BERKEMBANG: TEMUAN DARI PERILAKU PREMI CREDIT DEFAULT SWAP
... kejatuhan kondisi ekonomi akibat imbas dari luar. Hal ini selanjutnya dapat mendorong pemerintahan yang ada untuk merestrukturisasi kembali skedul pembayaran hutang yang ada. Trend lanjutan dalam pengelolaan risiko ...
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Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy
... between credit default swap (CDS) spreads and some chosen macro economic data in Turkish ...economy. Credit default swap spread as an insurance spread is the most important sign ...
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Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching
... the credit spreads of low credit rating rms respond more dramatically to deteriorating equity market ...extant credit risk structural ...high default risk ...
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The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
... activity is low. Avramov et al. (2007), Collin-Dufresne et al. (2001), Greatrex (2009) and Aunon-Nerin et al. (2002) confirm a negative relationship between S&P 500 index and credit risk. In this study, we ...
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Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets
... that credit risk and illiquidity are positively ...run credit risk changes are more likely to induce CDS market liquidity to dry-up than vice ...by credit risk shocks, in the spirit of the liquidity ...
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The economic impact of credit default swap on credit markets
... In the third step, we test whether the past price mis-alignment can also predict future movement of individual bonds. Similar to the results found in the bond portfolios, past basis predicts the future returns of ...
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How the Subprime Crisis went global: Evidence from bank credit default swap spreads
... Permanent repository link: http://openaccess.city.ac.uk/13161/ Link to published version: http://dx.doi.org/10.1016/j.jimonfin.2012.02.002 Copyright and reuse: City Research Online aims [r] ...
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The Single Resolution Fund and the Credit Default Swap: What is the Coasian fair price of their insurance services?
... Another set of differences between this paper and the paper by Necula and Radu (2012) relates to the estimation of some parameters key to pricing the service provided by the SRB or the liabilities of the recapitalization ...
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Non default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
... The CDS bid-ask as a percentage has also positive sign and it is significant for speculative grade bonds and in pooled bonds. For investment grade bonds however the sign is negative. Assuming a percentage bid-ask spread ...
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News-Specific Price Discovery in Credit Default Swap Markets
... What can account for the news-specific nature of price discovery? We bring forward an explanation based on different investor groups being important in the two markets. While a wide range of investors with very diverse ...
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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
... the default of one party might affect the default probabilities of other ...major credit event at one firm is associated with significant increases in the credit spreads of other ...of ...
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