credit default swap (CDS)
Valuation of Credit Default Swap with Counterparty Default Risk by Structural Model
... a credit default swap with counterparty default ...a default event is supposed to occur at most one time, which means either reference entity or counterparty may default ...the ...
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The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds
... developing credit default swap(CDS) is to extract credit risk from other risks, and trade on it more ...of CDS contract comes from life ...a CDS contract, use it to redeem ...
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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 ...
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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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Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... the credit default swap (CDS) ...the credit worthiness of financial institutions was questioned with the forced sale of Bear Stearns and the fall of Lehman Brothers, this had its impact ...
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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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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 ...
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News-Specific Price Discovery in Credit Default Swap Markets
... of CDS returns on lagged equity market returns partitioned into positive and negative ...Lagged CDS returns are also included in the ...firm CDS returns as dependent ...
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Valuation of a Tranched Loan Credit Default Swap Index
... Loan-only Credit Default Swaps, called LCDS in sim- ple, are financial instruments that provide the buyer an insurance against the default of the underlying syndi- cated secured ...standard ...
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Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching
... that CDS indices are more volatile than equity indices; CDS Auto is by and large the most ...between CDS returns and equity returns, in line with the Merton (1974) model prediction that growth in rm ...
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SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
... Data from Bank for International Settlement (BIS) shows, since firstly introduced in 2005, CDS contract value has achieved USD 41.9 Trillion as for December 2008 (Figure 1). Even with rapid development, CDS ...
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Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil
... The empirical literature so far supports both the size and significance of financial variables that influence the CDS spread. However, empirical results from the OLS regression suggest that these variables alone ...
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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
... A CDS is normally used to transfer the credit risk of a reference entity between two ...the credit risk of the reference entity but gives rise to another form of risk: counterparty ...the CDS ...
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The economic impact of credit default swap on credit markets
... the credit markets back to the conventional buy-and-hold bond investors and those investors who purchase CDS for insuring the credit ...of CDS during the crisis, ...
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QUANTIFYING MODEL RISK IN CREDIT DERIVATIVES PRICING
... We next consider how we can use our Green’s function to price a credit default swap (CDS) 246. analytically under an assumed rates-credit correlation[r] ...
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What determines euro area bank CDS spreads? National Bank of Belgium Working Paper, No. 190, May 2010
... of credit default swap (CDS) spread changes for euro area credit institutions over the period 2004-2008, covering both tranquil times and the recent financial ...A CDS spread is ...
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Download Download PDF
... sovereign credit risks of a ...sovereign credit default swap spreads of Japan and conclude that the SCDS spreads changes are due to other factors rather than the fiscal situation of ...
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Risky Swaps
... a credit default swap (CDS) pricing is somewhat an adjacent ...a default, the credit risk on a debt investment is related to the ...or default, which ever one comes first. ...
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Pricing Loan CDS with Vasicek Interest Rate under the Contagious Model
... The credit risk of the bank is mainly derived from the ...China, credit risk is excessively ...managing credit risk are ...on credit derivatives, the exploration and the development of ...
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Trading strategies with implied forward credit default swap spreads
... Permanent repository link: http://openaccess.city.ac.uk/14537/ Link to published version: http://dx.doi.org/10.1016/j.jbankfin.2015.04.018 Copyright and reuse: City Research Online aims [r] ...
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