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Advanced Search Results For "CREDIT default swaps"

1 - 10 of 6,382 results for
 "CREDIT default swaps"
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Credit Default Swaps around the World.

Publication Type:Academic Journal

Source(s):Review of Financial Studies. May2022, Vol. 35 Issue 5, p2464-2524. 61p.

Abstract:We analyze the impact of the introduction of credit default swaps (CDSs) on real decision-making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS...

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The Disciplining Effect of Credit Default Swap Trading on the Quality of Credit Rating Agencies†.

Publication Type:Academic Journal

Source(s):Contemporary Accounting Research. Jun2022, Vol. 39 Issue 2, p1297-1333. 37p.

Abstract:RÉSUMÉ: L'effet disciplinant de la négociation des contrats d'échange sur risque de crédit sur la qualité des notations de crédit Cette étude examine si l'amorce de la négociation de contrats d'échange sur risque de crédit (CDS) peut servir de mécanism...

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透過信用違約交換報價與公司債殖利率萃取流動性風險 因子之探討.

Publication Type:Academic Journal

Source(s):NTU Management Review. Apr2022, Vol. 32 Issue 1, p1-43. 43p.

Abstract:本研究選取兩種資料:單純的美國信用違約交換市場買賣報價資料;另外就是結合美 國信用違約交換買賣報價資料與相關公司債殖利率的資料。透過無損卡爾曼濾波估計 法,在平方根隨機過程的信用風險模型設定下,我們估計出兩種違約因子。之後,再 將信用違約交換資料進行主成分分析,然後用第一主成分與兩種違約因子進行迴歸, 而萃取出兩個新流動性風險因子。經過實證分析結果得知:這兩個新流動性風險因子 確實為可作為流動性風險代理變數,但是結合信用違約交換報價與債券殖利率所求算 出來的新流動性因子,其解釋能力比單純透過信用違約...

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The Role of CDS Market in the Price Discovery Process of the "PIIGS" Countries Sovereign Credit Risk During the Recent Decade of Monetary Easing.

Publication Type:Academic Journal

Source(s):Journal of Finance & Investment Analysis. 2022, Vol. 11 Issue 1, p1-29. 29p.

Abstract:The aim of this paper is to analyze the long-lasting dynamic relationship between the credit default swap (CDS) premia and the government bond spreads (GBS), with regard to the sovereign credit risk. The practical focus is to evaluate whether the CDS m...

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Basket Credit Default Swap Pricing with Two Defaultable Counterparties.

Publication Type:Academic Journal

Source(s):Discrete Dynamics in Nature & Society. 3/22/2022, p1-17. 17p.

Abstract:In this paper, we study the basket CDS pricing with two defaultable counterparties based on the reduced-form model. The default jump intensities of the reference firms and counterparties are all assumed to follow the mean-reverting constant elasticity ...

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Impact of credit default swaps on firms' operational efficiency.

Publication Type:Academic Journal

Source(s):Production & Operations Management. Sep2022, Vol. 31 Issue 9, p3611-3631. 21p.

Abstract:As one of the most important financial innovations in the last two decades, credit default swap (CDS) contracts have been initiated and actively traded in the market to hedge against credit risks. However, little is known about how these financial inno...

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Network Topology of Dynamic Credit Default Swap Curves of Energy Firms and the Role of Oil Shocks.

Publication Type:Academic Journal

Source(s):Energy Journal. 2022 Special Issue, Vol. 43, p117-142. 26p.

Abstract:Using network analysis on the connectedness of default factors in a credit default swap (CDS) dataset of U.S. and European energy firms, we provide the first evidence of differences in the shape and dynamics of the interconnectedness of the level, slop...

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Spillovers from one country's sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach.

Publication Type:Academic Journal

Source(s):Journal of Asset Management. Jul2022, Vol. 23 Issue 4, p277-296. 20p.

Abstract:This paper examines the interactions among CDS spreads across 13 European countries using spatial econometrics techniques. Our model allows for the estimation of direct and indirect transmission of sovereign risk and feedback effects across the network...

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Impact of the COVID-19 Pandemic on the US Credit Default Swap Market.

Publication Type:Academic Journal

Source(s):Complexity. 11/30/2021, p1-5. 5p.

Abstract:The COVID-19 pandemic affected the US economy at different levels. Since credit default swaps can be viewed as a default probability indicator, the article shows the credit default swap market perspective on how the US economy was hit by the pandemic. ...

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Do markets value ESG risks in sovereign credit curves?

Publication Type:Academic Journal

Source(s):Quarterly Review of Economics & Finance. Aug2022, Vol. 85, p134-148. 15p.

Abstract:• This paper assesses the role of country sustainability for sovereign credit risks. • More sustainable countries exhibit lower credit default swap spreads and flatter credit curves. • Results imply a risk mitigation effect that is more pronounced in t...

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