Credit default swap spreads
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Trading strategies with implied forward credit default swap spreads
... For the period 2008-2013 on average there is a clear increase in the uncertainty of the cash-flows generated by this strategy, with large positive as well as large negative values. The results presented in Table 2 for ...
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The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
... CDS spreads to explain credit ...as credit ratings and explain 82% of variation in CDS ...of credit risk from CDS spreads is also an important issue highly debated in the empirical ...
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How the Subprime Crisis went global: Evidence from bank credit default swap spreads
... CDS spreads. Longsta¤ et al. …nd that the fraction of the variance of spreads on the CDS of 26 sovereigns explained by the …rst component varies between 32 and 48 ...in spreads and the higher share ...
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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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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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... SCDS spreads clearly represents the sovereign credit risks of a ...sovereign credit default swap spreads of Japan and conclude that the SCDS spreads changes are due to ...
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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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News-Specific Price Discovery in Credit Default Swap Markets
... of spreads with positive equity market movements are negative and statistically significant, supporting the idea that information leading to widening equity spreads and a rising equity market is ...
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Non default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
... as credit risk increases, the CDS-bond basis increases, making the bonds more expensive relative to what would be implied by their CDS ...to default, since the demand from those who intend to deliver the ...
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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 are not ...
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Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching
... between credit risk and equity value depends on the rm's credit ...that credit spread predictions obtained from Merton-type structural credit risk models underestimate historical credit ...
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Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets
... CDS spreads may decrease (see the previous reasoning for the risk-free interest ...the default probability to fall. Hence, CDS spreads should ...that default spreads widen when overall ...
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The economic impact of credit default swap on credit markets
... CDS spreads for the bonds in pricing credit ...the credit risk of their bond investments, we expect that the relation between past CDS spread and future bond returns be significantly ...CDS ...
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Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization
... Collateral posting regimes are originally designed and utilized for bilateral risk products, e.g., IRS, but there are many reasons to be concerned about the success of collateral posting in offsetting the risks of CDS ...
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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 credit event. As such ...
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Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... CDS spreads of corporates mostly the same factors were taken into account for different sectors, whereas for banks and insurance companies different factors were considered important in determining the CDS ...the ...
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SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
... as swap default able floating rate notes towards default free floating rate ...a swap, the owner of CDS has a right to exchange his default-able instruments with the cash flow from ...
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Risky Swaps
... There exist other aspect of the derivatives pricing we wish to highlight here. For the recent generation of the derivatives called credit derivatives the risk neutral setting is stems from the (BSE) ...
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The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds
... of Credit risk ...of credit risk have been widely ...traditional credit models explain only one-forth of the variation in yield ...of credit derivative ...
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2008 SEC short selling ban: impacts on the credit default swap market
... The “Abnormal Equities Spread” indicates that the equity prices of firms covered by the ban track within five percentage points of the equity prices of the “S&P 60 Index” firms during th[r] ...
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