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Credit-Default-Swaps (CDS)

Empirical Study on the Role of CDS (Credit Default Swaps) - With Special Reference to Global Financial Crisis

Empirical Study on the Role of CDS (Credit Default Swaps) - With Special Reference to Global Financial Crisis

... and Credit Default Swaps(CDS) were traded over-the-counter which forced investors to find suitable trading partners ...of CDS instruments, mainly because of transactions are not ...

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Application of Copula GARCH to Estimate VaR of a Portfolio with Credit Default Swaps

Application of Copula GARCH to Estimate VaR of a Portfolio with Credit Default Swaps

... Credit Default Swaps (CDSs) provide an efficient way for commercial banks to hedge their portfolios’ exposure to credit ...investment-grade credit ratings that trade in the CDS ...

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Are Credit Default Swaps Credit Default Insurances?

Are Credit Default Swaps Credit Default Insurances?

... perspective credit default swaps (CDS) are not considered to be an insurance ...a CDS is eligible to obtain the compensation without suffering any loss (and potentially realizing a ...

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Credit Default Swaps (CDS) role in Indian Banking Sector: A Glimpse

Credit Default Swaps (CDS) role in Indian Banking Sector: A Glimpse

... of CDS (Credit Default Swaps) and CLN (Credit Linked Notes) on the Indian banking sector during and after the subprime ...of CDS and ...of CDS in Indian banking ...in ...

7

Dependence Structure of Insurance Credit Default Swaps

Dependence Structure of Insurance Credit Default Swaps

... insurance CDS indices applied to Clayton and Gumbel copulas respectively lower and higher ...insurance CDS indices evolves over time in the pair of lower and higher market regimes, separately, and the level ...

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Corporate Distress, Credit Default Swaps, and Defaults: Information and Traditional, Contingent, and Empty Creditors

Corporate Distress, Credit Default Swaps, and Defaults: Information and Traditional, Contingent, and Empty Creditors

... Federal securities law seeks to ensure the quality and quantity of information that corporations make publicly available. Informational asymmetries associated with companies in financial distress, but not in bankruptcy, ...

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Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets

Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets

... 5 financial crises. Also, they do not fail to mention that the opposite case is possible. Crises may follow after periods of strong “risk appetite” during which investors are excessively optimistic and hence create ...

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Legitimacy in financial markets: credit default swaps in the current crisis

Legitimacy in financial markets: credit default swaps in the current crisis

... that CDS contracts could be dealt with in advance of any other calculations regarding creditors and debtors in a liquidation procedure (Bliss and Kaufman, 2005; Glass, ...2008). CDS contract holders do not ...

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“Does the tail wag the dog? The effect of credit default swaps on credit risk”

“Does the tail wag the dog? The effect of credit default swaps on credit risk”

... of CDS regarding their effect on the underlying ...derivatives, CDS contracts are somewhat different. CDS contracts are traded over-the-counter, where price transparency and discovery are less ...

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The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps

The chicken or the egg? A note on the dynamic interrelation between government bond spreads and credit default swaps

... First, unlike the previous studies on corporate bonds, it uses data on 10-year government yield spreads over a benchmark bond rate and their underlying CDS, and focuses on the four South[r] ...

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Credit Default Swaps - Essays on Model and Market Efficiency

Credit Default Swaps - Essays on Model and Market Efficiency

... the CDS market during high risk periods when there is a greater probability of quote ...OTC CDS market simply breaks down during high risk periods and pricing efficiency ...

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The real effects of credit default swaps

The real effects of credit default swaps

... We calibrate the model with a CDS market so that it resembles the average public corporation in the United States. We select the parameters such that the model is able to match the investment and financing ...

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Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk

Feats and Failures of Corporate Credit Risk, Stock Returns, and the Interdependencies of Sovereign Credit Risk

... sovereign credit risk as captured in the credit default swaps (CDS) and stock market returns of cross-listed and local stock exchange listed ...sovereign credit ratings and ...

94

Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads

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 on the ...

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Sovereign Default Risk and State Owned Bank Fragility in Emerging Markets

Sovereign Default Risk and State Owned Bank Fragility in Emerging Markets

... sovereign default risk and banking system fragility in two major emerging markets, China and Russia, using credit default swaps as a proxy for default ...bank CDS spreads in the ...

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AN INTRODUCTORY EXAMINATION OF SWAPS’ MODUS OPERANDI

AN INTRODUCTORY EXAMINATION OF SWAPS’ MODUS OPERANDI

... the credit derivatives area. In credit derivatives, the pay-off depends on the creditworthiness of one or more companies or ...their credit risk. They can be used to transfer credit risk from ...

7

Clearing Credit Default Swaps: A Case Study in Global Legal Convergence

Clearing Credit Default Swaps: A Case Study in Global Legal Convergence

... IV. The force of example drove a search for a new regulatory regime: with the advent of the credit crisis, the principal alternative model to CCP clearing-favoring [r] ...

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Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology

Sovereign credit risk in a hidden Markov regime-switching framework. Part 1: Methodology

... structural credit risk model specifications based on Merton’s default model while increasing its flexibility [Black and Cox (1976), Longstaff and Schwartz ...the default probabilities implied by the ...

15

Trading strategies with implied forward credit default swap spreads

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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What determines euro area bank CDS spreads? National Bank of Belgium Working Paper, No  190, May 2010

What determines euro area bank CDS spreads? National Bank of Belgium Working Paper, No. 190, May 2010

... bank credit spreads, probably because the financial industry is considered to be an opaque industry where traditional credit risk models are likely to be less ...study credit spread changes of ...

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