Credit Derivatives and Loan Pricing

Citations

Cited by:

1. Nimita Azam & Abdullah Mamun & George F. Tannous, 2022. "Credit derivatives and loan yields," The Financial Review, Eastern Finance Association, vol. 57(1), pages 205-241, February.
2. Xin Huang & Hao Zhou & Haibin Zhu, 2012. "Systemic Risk Contributions," Journal of Financial Services Research, Springer;Western Finance Association, vol. 42(1), pages 55-83, October.
   • Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43, Bank for International Settlements.
   • Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," Finance and Economics Discussion Series 2011-08, Board of Governors of the Federal Reserve System (U.S.).
3. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2009. "A framework for assessing the systemic risk of major financial institutions," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2036-2049, November.
   • Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A framework for assessing the systemic risk of major financial institutions," Finance and Economics Discussion Series 2009-37, Board of Governors of the Federal Reserve System (U.S.).
   • Xin Huang & Hao Zhou & Haibin Zhu, 2009. "A Framework for Assessing the Systemic Risk of Major Financial Institutions," BIS Working Papers 281, Bank for International Settlements.
4. Osano, Hiroshi, 2020. "Credit default swaps and market information," Journal of Financial Markets, Elsevier, vol. 48(C).
5. Ismailescu, Iuliana & Kazemi, Hossein, 2010. "The reaction of emerging market credit default swap spreads to sovereign credit rating changes," Journal of Banking & Finance, Elsevier, vol. 34(12), pages 2861-2873, December.
6. Das, Sanjiv & Kalimipalli, Madhu & Nayak, Subhankar, 2014. "Did CDS trading improve the market for corporate bonds?," Journal of Financial Economics, Elsevier, vol. 111(2), pages 495-525.
7. Norden, Lars, 2017. "Information in CDS spreads," Journal of Banking & Finance, Elsevier, vol. 75(C), pages 118-135.
8. Arping, Stefan, 2014. "Credit protection and lending relationships," Journal of Financial Stability, Elsevier, vol. 10(C), pages 7-19.
   • Stefan Arping, 2012. "Credit Protection and Lending Relationships," Tinbergen Institute Discussion Papers 12-142/IV/DSF48, Tinbergen Institute.
9. Huang, Xin & Zhou, Hao & Zhu, Haibin, 2012. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Journal of Financial Stability, Elsevier, vol. 8(3), pages 193-205.
   • Xin Huang & Hao Zhou & Haibin Zhu, 2009. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," Finance and Economics Discussion Series 2009-44, Board of Governors of the Federal Reserve System (U.S.).
   • Xin Huang & Hao Zhou & Haibin Zhu, 2010. "Assessing the systemic risk of a heterogeneous portfolio of banks during the recent financial crisis," BIS Working Papers 296, Bank for International Settlements.
10. Kim, Gi H., 2016. "Credit derivatives as a commitment device: Evidence from the cost of corporate debt," Journal of Banking & Finance, Elsevier, vol. 73(C), pages 67-83.
11. Ismailescu, Iuliana & Phillips, Blake, 2015. "Credit default swaps and the market for sovereign debt," Journal of Banking & Finance, Elsevier, vol. 52(C), pages 43-61.
12. Galil, Koresh & Soffer, Gil, 2011. "Good news, bad news and rating announcements: An empirical investigation," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 3101-3119, November.
13. Huang, Alex YiHou & Cheng, Chiao-Ming, 2013. "Information risk and credit contagion," Finance Research Letters, Elsevier, vol. 10(3), pages 116-123.
14. Ivanov, Ivan T. & Santos, João A.C. & Vo, Thu, 2016. "The transformation of banking: Tying loan interest rates to borrowers' CDS spreads," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 150-165.
15. Imbierowicz, Björn & Wahrenburg, Mark, 2013. "Wealth transfer effects between stockholders and bondholders," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(1), pages 23-43.
16. Wengner, Andreas & Burghof, Hans-Peter & Schneider, Johannes, 2015. "The impact of credit rating announcements on corporate CDS markets—Are intra-industry effects observable?," Journal of Economics and Business, Elsevier, vol. 78(C), pages 79-91.
17. 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.
18. Ivan T. Ivanov & João A. C. Santos & Thu Vo, 2014. "Tying loan interest rates to borrowers' CDS spreads," Finance and Economics Discussion Series 2014-70, Board of Governors of the Federal Reserve System (U.S.).
19. Nigmonov, Asror & Shams, Syed & Alam, Khorshed, 2022. "Macroeconomic determinants of loan defaults: Evidence from the U.S. peer-to-peer lending market," Research in International Business and Finance, Elsevier, vol. 59(C).
20. Murray, Benjamin & Svec, Jiri & Wright, Danika, 2017. "Wealth transfer, signaling and leverage in M&A," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 203-212.
21. Ashcraft, Adam B. & Santos, João A.C., 2009. "Has the CDS market lowered the cost of corporate debt?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 514-523, May.
22. Bosch, Oliver & Steffen, Sascha, 2011. "On syndicate composition, corporate structure and the certification effect of credit ratings," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 290-299, February.
23. Shim, Ilhyock & Zhu, Haibin, 2014. "The impact of CDS trading on the bond market: Evidence from Asia," Journal of Banking & Finance, Elsevier, vol. 40(C), pages 460-475.
    • Ilhyock Shim & Haibin Zhu, 2010. "The impact of CDS trading on the bond market: evidence from Asia," BIS Working Papers 332, Bank for International Settlements.
24. Paweł Niedziółka, 2009. "Zmienność komponentu upadłościowego marży wskutek zachwiania stabilności finansowej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 9, pages 67-86.
25. Feixue Huang & Yan He, 2010. "Enactment of Default Point in KMV Model on CMBC, SPDB, CMB, Huaxia Bank and SDB," International Journal of Financial Research, International Journal of Financial Research, Sciedu Press, vol. 1(1), pages 30-36, December.
26. Raffaele Gallo, 2020. "The impact of the IRB approach on the relationship between the cost of credit for public companies and financial market conditions," Temi di discussione (Economic working papers) 1290, Bank of Italy, Economic Research and International Relations Area.
27. Silaghi, Florina & Martín-Oliver, Alfredo & Sewaid, Ahmed, 2022. "The CDS market reaction to loan renegotiation announcements," Journal of Banking & Finance, Elsevier, vol. 138(C).
28. Black, Lamont & Correa, Ricardo & Huang, Xin & Zhou, Hao, 2016. "The systemic risk of European banks during the financial and sovereign debt crises," Journal of Banking & Finance, Elsevier, vol. 63(C), pages 107-125.
    • Lamont K. Black & Ricardo Correa & Xin Huang & Hao Zhou, 2013. "The systemic risk of European banks during the financial and sovereign debt crises," International Finance Discussion Papers 1083, Board of Governors of the Federal Reserve System (U.S.).
29. Roshanthi Dias, 2017. "The role of managerial risk-taking in the ‘rise and fall’ of the CDS market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 57, pages 117-145, April.
30. Forte, Santiago & Peña, Juan Ignacio, 2009. "Credit spreads: An empirical analysis on the informational content of stocks, bonds, and CDS," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2013-2025, November.