Credit default swaps and corporate innovation
نویسندگان
چکیده
منابع مشابه
Credit Default Swaps and Corporate Cash Holdings∗
The introduction of credit default swaps (CDS) trading on an underlying firm may influence its future access to external financing and, hence, its precautionary demand for cash. In this paper, we empirically estimate this effect of CDS trading, using a comprehensive sample of North American corporate CDS introductions between 1997 and 2009. We show that corporate cash holdings, as a proportion ...
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Although the results are based on a small sample • of Canadian fi rms, they are consistent with recent research on how liquidity risk is priced in corporate bond markets. Since the beginning of the credit crisis in mid2007, corporate spreads worldwide widened markedly. In Canada, the aggregate spread for investment-grade fi rms reached a maximum of 401 basis points (bps) in January and March of...
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This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price density and relative to a general numeraire. Default probabilities and recoveries are considered as processes adapted to a subfiltration, following Jeanblanc ...
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Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an ...
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A credit default swap (CDS) contract provides insurance against default. After a country defaults, the country and its lenders usually negotiate over the share of the defaulted debt to be repaid. This paper incorporates CDS contracts into a sovereign default model and demonstrates that the existence of a CDS market results in lower default probability, higher debt levels, and lower nancing cost...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2019
ISSN: 0304-405X
DOI: 10.1016/j.jfineco.2017.12.012