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Credit Default Swaps: A Survey

Citations

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Cited by:

  1. Evgenia Grigoryeva, 2021. "Determinants of Russia’s Sovereign Risk," Russian Journal of Money and Finance, Bank of Russia, vol. 80(4), pages 74-97, December.
  2. Czech, Robert, 2021. "Credit default swaps and corporate bond trading," Journal of Financial Intermediation, Elsevier, vol. 48(C).
  3. Pasquale Della Corte & Lucio Sarno & Maik Schmeling & Christian Wagner, 2022. "Exchange Rates and Sovereign Risk," Management Science, INFORMS, vol. 68(8), pages 5591-5617, August.
  4. Sven Klingler & David Lando, 2018. "Safe Haven CDS Premiums," The Review of Financial Studies, Society for Financial Studies, vol. 31(5), pages 1856-1895.
  5. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "In sickness and in debt: The COVID-19 impact on sovereign credit risk," Journal of Financial Economics, Elsevier, vol. 143(3), pages 1251-1274.
  6. Aldasoro, Iñaki & Barth, Andreas, 2017. "Syndicated loans and CDS positioning," ESRB Working Paper Series 58, European Systemic Risk Board.
  7. Kei-Ichiro Inaba, 2018. "Liquidity and Pricing of Credit Default Swaps in Japan: Evidence from a Benchmark Index for Corporate Debt Claims," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(1), pages 111-143, August.
  8. Matt Darst & Ehraz Refayet, 2016. "Credit Default Swaps in General Equilibrium: Spillovers, Credit Spreads, and Endogenous Default," Finance and Economics Discussion Series 2016-042, Board of Governors of the Federal Reserve System (U.S.).
  9. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  10. Chengzhu Sun & Shujing Wang & Chu Zhang, 2021. "Corporate Payout Policy and Credit Risk: Evidence from Credit Default Swap Markets," Management Science, INFORMS, vol. 67(9), pages 5755-5775, September.
  11. Matthias Weber & John Duffy & Arthur Schram, 2019. "Credit Default Swap Regulation in Experimental Bond Markets," Working Papers on Finance 1905, University of St. Gallen, School of Finance.
  12. Colonnello, Stefano & Efing, Matthias & Zucchi, Francesca, 2016. "Empty creditors and strong shareholders: The real effects of credit risk trading," IWH Discussion Papers 10/2016, Halle Institute for Economic Research (IWH).
  13. Oehmke, Martin & Zawadowski, Adam, 2015. "Synthetic or real? The equilibrium effects of credit default swaps on bond markets," LSE Research Online Documents on Economics 84511, London School of Economics and Political Science, LSE Library.
  14. Tang, Dragon Yongjun & Yan, Hong, 2017. "Understanding transactions prices in the credit default swaps market," Journal of Financial Markets, Elsevier, vol. 32(C), pages 1-27.
  15. Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun, 2019. "Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 159-180.
  16. Li, Jay Y. & Tang, Dragon Yongjun, 2022. "Product market competition with CDS," Journal of Corporate Finance, Elsevier, vol. 73(C).
  17. Wenxin Du & Salil Gadgil & Michael B. Gordy & Clara Vega, 2016. "Counterparty Risk and Counterparty Choice in the Credit Default Swap Market," Finance and Economics Discussion Series 2016-087, Board of Governors of the Federal Reserve System (U.S.).
  18. Liangfei Qiu & Ruiqi Liu & Yong Jin & Chao Ding & Yangyang Fan & Andy C. L. Yeung, 2022. "Impact of credit default swaps on firms’ operational efficiency," Production and Operations Management, Production and Operations Management Society, vol. 31(9), pages 3611-3631, September.
  19. Silva, Paulo Pereira da & Vieira, Carlos & Vieira, Isabel, 2015. "The determinants of CDS open interest dynamics," Journal of Financial Stability, Elsevier, vol. 21(C), pages 95-109.
  20. Patrick Augustin & Hamid Boustanifar & Johannes Breckenfelder & Jan Schnitzler, 2018. "Sovereign to Corporate Risk Spillovers," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 50(5), pages 857-891, August.
  21. Caterina Di Tommaso, 2022. "Securitization and CDS in U.S. bank lending," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(1), pages 1120-1133, January.
  22. Nina Boyarchenko & Anna M. Costello & Or Shachar, 2020. "The Long and Short of It: The Post-Crisis Corporate CDS Market," Economic Policy Review, Federal Reserve Bank of New York, vol. 26(3), pages 1-49, June.
  23. Vishaal Baulkaran & Pawan Jain, 2023. "CDS contract initiations: REIT board monitoring and corporate decision outcomes," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 46(1), pages 217-246, February.
  24. Caporin, Massimiliano & Pelizzon, Loriana & Ravazzolo, Francesco & Rigobon, Roberto, 2018. "Measuring sovereign contagion in Europe," Journal of Financial Stability, Elsevier, vol. 34(C), pages 150-181.
  25. Le, Chau & Dickinson, David & Le, Anh, 2022. "Sovereign risk spillovers: A network approach," Journal of Financial Stability, Elsevier, vol. 60(C).
  26. Christian Gross & Pierre L. Siklos, 2020. "Analyzing credit risk transmission to the nonfinancial sector in Europe: A network approach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 35(1), pages 61-81, January.
  27. Patrick Augustin & Jan Schnitzler, 2021. "Disentangling types of liquidity and testing limits‐to‐arbitrage theories in the CDS–bond basis," European Financial Management, European Financial Management Association, vol. 27(1), pages 120-146, January.
  28. Caglio, Cecilia & Darst, R. Matthew & Parolin, Eric, 2019. "Half-full or half-empty? Financial institutions, CDS use, and corporate credit risk," Journal of Financial Intermediation, Elsevier, vol. 40(C).
  29. Benjamin Hippert & André Uhde & Sascha Tobias Wengerek, 2019. "Determinants of CDS trading on major banks," Working Papers Dissertations 51, Paderborn University, Faculty of Business Administration and Economics.
  30. Fong, Tom Pak Wing & Li, Ka-Fai & Fu, John, 2018. "Accounting for sovereign tail risk in emerging economies: The role of global and domestic risk factors," Emerging Markets Review, Elsevier, vol. 34(C), pages 98-110.
  31. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G., 2016. "Why do investors buy sovereign default insurance?," CFS Working Paper Series 540, Center for Financial Studies (CFS).
  32. Gao, Feng & Li, Yubin & Wang, Xinjie & Zhong, Zhaodong (Ken), 2021. "Corporate social responsibility and the term structure of CDS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 74(C).
  33. Matthias Pelster & Johannes Vilsmeier, 2018. "The determinants of CDS spreads: evidence from the model space," Review of Derivatives Research, Springer, vol. 21(1), pages 63-118, April.
  34. Borri, Nicola, 2019. "Redenomination-risk spillovers in the Eurozone," Economics Letters, Elsevier, vol. 174(C), pages 173-178.
  35. Manuel Ammann & Mathis Mörke, 2019. "Credit Variance Risk Premiums," Working Papers on Finance 1908, University of St. Gallen, School of Finance.
  36. Bertoni, Fabio & Lugo, Stefano, 2018. "Detecting abnormal changes in credit default swap spreads using matching-portfolio models," Journal of Banking & Finance, Elsevier, vol. 90(C), pages 146-158.
  37. Söhnke M Bartram & Jennifer Conrad & Jongsub Lee & Marti G Subrahmanyam, 2022. "Credit Default Swaps around the World," The Review of Financial Studies, Society for Financial Studies, vol. 35(5), pages 2464-2524.
  38. Palazzo, Berardino & Yamarthy, Ram, 2022. "Credit risk and the transmission of interest rate shocks," Journal of Monetary Economics, Elsevier, vol. 130(C), pages 120-136.
  39. Marti G. Subrahmanyam & Dragon Yongjun Tang & Sarah Qian Wang, 2016. "Credit Default Swaps, Exacting Creditors and Corporate Liquidity Management," Working Papers 202016, Hong Kong Institute for Monetary Research.
  40. Iván M. Rodríguez & Krishnan Dandapani & Edward R. Lawrence, 2019. "Measuring Sovereign Risk: Are CDS Spreads Better than Sovereign Credit Ratings?," Financial Management, Financial Management Association International, vol. 48(1), pages 229-256, March.
  41. Loon, Yee Cheng & Zhong, Zhaodong (Ken), 2016. "Does Dodd-Frank affect OTC transaction costs and liquidity? Evidence from real-time CDS trade reports," Journal of Financial Economics, Elsevier, vol. 119(3), pages 645-672.
  42. Florian Barth & Christian Eckert & Nadine Gatzert & Hendrik Scholz, 2022. "Spillover Effects from the Volkswagen Emissions Scandal: An Analysis of Stock and Corporate Bond Markets," Schmalenbach Journal of Business Research, Springer, vol. 74(1), pages 37-76, March.
  43. Erica Paulos & Bruno Sultanum & Elliot Tobin, 2019. "CDS Auctions: An Overview," Economic Quarterly, Federal Reserve Bank of Richmond, issue 2Q, pages 105-132.
  44. Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2017. "Credit default swaps, exacting creditors and corporate liquidity management," Journal of Financial Economics, Elsevier, vol. 124(2), pages 395-414.
  45. Juan Ignacio Pe~na, 2019. "Credit Cycles, Securitization, and Credit Default Swaps," Papers 1901.00177, arXiv.org.
  46. Gabriel Caldas Montes & Iven Silva Valpassos, 2018. "Discretionary fiscal policy and sovereign risk," Economics Bulletin, AccessEcon, vol. 38(3), pages 1343-1365.
  47. Andrea Consiglio & Somayyeh Lotfi & Stavros A. Zenios, 2018. "Portfolio diversification in the sovereign credit swap markets," Annals of Operations Research, Springer, vol. 266(1), pages 5-33, July.
  48. Brůha, Jan & Kočenda, Evžen, 2018. "Financial stability in Europe: Banking and sovereign risk," Journal of Financial Stability, Elsevier, vol. 36(C), pages 305-321.
  49. Shan, Chenyu & Tang, Dragon Yongjun & Winton, Andrew, 2019. "Do banks still monitor when there is a market for credit protection?," Journal of Accounting and Economics, Elsevier, vol. 68(2).
  50. Colonnello, Stefano & Efing, Matthias & Zucchi, Francesca, 2019. "Shareholder bargaining power and the emergence of empty creditors," Journal of Financial Economics, Elsevier, vol. 134(2), pages 297-317.
  51. Gündüz, Yalin, 2018. "Mitigating counterparty risk," Discussion Papers 35/2018, Deutsche Bundesbank.
  52. Montes, Gabriel Caldas & Nicolay, Rodolfo & Pereira, Flavio, 2022. "Does fiscal sentiment matter for sovereign risk?," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 18-30.
  53. Colonnello, Stefano, 2017. "Internal governance and creditor governance: Evidence from credit default swaps," IWH Discussion Papers 6/2017, Halle Institute for Economic Research (IWH).
  54. Juliana Salomao, 2015. "Sovereign Debt Renegotiation and Credit Default Swaps," 2015 Meeting Papers 826, Society for Economic Dynamics.
  55. Yixin Chen & Junrui Zhang, 2019. "The Interdependence of Debt and Innovation Sustainability: Evidence from the Onset of Credit Default Swaps," Sustainability, MDPI, vol. 11(10), pages 1-24, May.
  56. Rajesh Narayanan & Cihan Uzmanoglu, 2018. "Credit Insurance, Distress Resolution Costs, and Bond Spreads," Financial Management, Financial Management Association International, vol. 47(4), pages 931-951, December.
  57. Breckenfelder, Johannes & Schwaab, Bernd, 2018. "Bank to sovereign risk spillovers across borders: Evidence from the ECB’s Comprehensive Assessment," Journal of Empirical Finance, Elsevier, vol. 49(C), pages 247-262.
  58. Lindsay Baran & Ying Li & Chang Liu & Zilong Liu & Xiaoling Pu, 2018. "S&P 500 Index revisions and credit spreads," Review of Financial Economics, John Wiley & Sons, vol. 36(4), pages 348-363, October.
  59. Mehdi Mili, 2018. "Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach," Journal of Asset Management, Palgrave Macmillan, vol. 19(2), pages 133-143, March.
  60. Esma Nur Cinicioglu & Gül Huyugüzel Kışla & A. Özlem Önder & Y. Gülnur Muradoğlu, 2024. "The Changing Behavior of the European Credit Default Swap Spreads During the Covid-19 Pandemic: A Bayesian Network Analysis," Computational Economics, Springer;Society for Computational Economics, vol. 63(3), pages 1213-1254, March.
  61. Chen, Sophia & Lee, Do, 2023. "Small and vulnerable: SME productivity in the great productivity slowdown," Journal of Financial Economics, Elsevier, vol. 147(1), pages 49-74.
  62. Alexander W. Butler & Xiang Gao & Cihan Uzmanoglu, 2021. "Financial Innovation and Financial Intermediation: Evidence from Credit Default Swaps," Management Science, INFORMS, vol. 67(5), pages 3150-3173, May.
  63. Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
  64. Hasan, Iftekhar & Marra, Miriam & To, Thomas Y. & Wu, Eliza & Zhang, Gaiyan, 2023. "COVID-19 Pandemic and Global Corporate CDS Spreads," Journal of Banking & Finance, Elsevier, vol. 147(C).
  65. Ferrara, Gerardo & Kim, Jun Sung & Koo, Bonsoo & Liu, Zijun, 2021. "Counterparty choice in the UK credit default swap market: An empirical matching approach," Economic Modelling, Elsevier, vol. 94(C), pages 58-74.
  66. Montes, Gabriel Caldas & Souza, Ivan, 2020. "Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  67. Pelizzon, Loriana & Subrahmanyam, Marti G. & Tomio, Davide & Uno, Jun, 2016. "Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?," Journal of Financial Economics, Elsevier, vol. 122(1), pages 86-115.
  68. Name 1 Dieter Wang Email 1 & Iman (I.P.P.) van Lelyveld & Julia (J.) Schaumburg, 2018. "Do information contagion and business model similarities explain bank credit risk commonalities?," Tinbergen Institute Discussion Papers 18-100/IV, Tinbergen Institute.
  69. Iftekhar Hasan & Liuling Liu & Gaiyan Zhang, 2016. "The Determinants of Global Bank Credit-Default-Swap Spreads," Journal of Financial Services Research, Springer;Western Finance Association, vol. 50(3), pages 275-309, December.
  70. Augustin, Patrick & Sokolovski, Valeri & Subrahmanyam, Marti G. & Tomio, Davide, 2022. "How sovereign is sovereign credit risk? Global prices, local quantities," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 92-111.
  71. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
  72. Iñaki Aldasoro & Torsten Ehlers, 2018. "The credit default swap market: what a difference a decade makes," BIS Quarterly Review, Bank for International Settlements, June.
  73. Martijn Boermans & Bram van der Kroft, 2020. "Capital regulation induced reaching for systematic yield: Financial instability through fire sales," Working Papers 673, DNB.
  74. Eisl, Alexander & Ochs, Christian & Staghøj, Jonas & Subrahmanyam, Marti G., 2022. "Sovereign issuers, incentives and liquidity: The case of the Danish sovereign bond market," Journal of Banking & Finance, Elsevier, vol. 140(C).
  75. Iman van Lelyveld & Sinziana Kroon, 2018. "Counterparty credit risk and the effectiveness of banking regulation," DNB Working Papers 599, Netherlands Central Bank, Research Department.
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