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 ...
متن کاملCredit Default Swaps Calibration and Option Pricing with the SSRD Stochastic Intensity and Interest-Rate Model
In the present paper we introduce a two-dimensional shifted square-root diffusion (SSRD) model for interest rate derivatives and single-name credit derivatives, in a stochastic intensity framework. The SSRD is the unique model, to the best of our knowledge, allowing for an automatic calibration of the term structure of interest rates and of credit default swaps (CDS’s). Moreover, the model reta...
متن کاملUnderstanding Corporate Bond Spreads Using Credit Default Swaps
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...
متن کاملInterest Rate Swaps: a Managerial Compensation Approach
The market for interest rate swaps has grown consistently since its inception. Swaps involve “swapping” fixed interest rate debt for variable rate debt. We explain this growth using a game theoretic model. We focus on managerial and owner compensation differences under swaps and open market restructuring. We conclude that swaps occur because the swap market incorporates information about the fi...
متن کاملPricing variance swaps under stochastic volatility and stochastic interest rate
In this thesis, we study the issue of pricing discretely-sampled variance swaps under stochastic volatility and stochastic interest rate. In particular, our modeling framework consists of the equity which follows the dynamics of the Heston stochastic volatility model, whereas the stochastic interest rate is driven by the Cox-Ingersoll-Ross (CIR) model. We first extend the framework of [119] by ...
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ژورنال
عنوان ژورنال: Journal of Economic Dynamics and Control
سال: 2018
ISSN: 0165-1889
DOI: 10.1016/j.jedc.2018.01.022