نتایج جستجو برای: basket default swaps bds
تعداد نتایج: 27663 فیلتر نتایج به سال:
Using credit default swaps (CDS) to imply a rms or sovereigns default probability is laden with di¢ culties, making the resulting estimate unreliable. This paper exposes these di¢ culties using a simple analogy to life insurance premiums. An analogy is used because the logic is more easily understood in this context. The di¢ culties are unraveling the impact of risk premium, counterparty ris...
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 ...
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 ...
Structural models of default risk price firm’s equity and debt as contingent claims written on the firm’s underlying assets. However, the empirical literature has detected that observed credit spreads, particularly for safer firms, tend to be on average above their structural models’ predictions (the credit spread puzzle). This paper investigates possible explanations for the credit spread puzz...
2 Abstract Correlated defaults have been an important area of research in credit risk analysis with the advent of a basket of credit derivatives. Even the simple credit derivatives should be considered a basket of two default risks since the bankruptcy risk of the derivative issuer is also a factor. Considering jumps in the asset value helps to model the surprise risk of default in a group of f...
نمودار تعداد نتایج جستجو در هر سال
با کلیک روی نمودار نتایج را به سال انتشار فیلتر کنید