Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?
Download full text from publisher
References listed on IDEAS
- Didier Cossin & Hugues Pirotte, 1998. "How well do classical credit risk pricing models fit swap transaction data?," European Financial Management, European Financial Management Association, vol. 4(1), pages 65-77.
- Nickell, Pamela & Perraudin, William & Varotto, Simone, 2000. "Stability of rating transitions," Journal of Banking & Finance, Elsevier, vol. 24(1-2), pages 203-227, January.
- Patrick Houweling & Ton Vorst, 2001.
"An Empirical Comparison of Default Swap Pricing Models,"
0112003, University Library of Munich, Germany.
- Patrick Houweling & Ton Vorst, 2002. "An Empirical Comparison of Default Swap Pricing Models," Tinbergen Institute Discussion Papers 02-004/2, Tinbergen Institute.
- Houweling, P. & Vorst, A.C.F., 2002. "An Empirical Comparison of Default Swap Pricing Models," Econometric Institute Research Papers ERS-2002-23-F&A, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Houweling, P. & Vorst, A.C.F., 2002. "An Empirical Comparison of Default Swap Pricing Models," ERIM Report Series Research in Management ERS-2002-23-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
- Claessens, Stijn & Pennacchi, George, 1996. "Estimating the Likelihood of Mexican Default from the Market Prices of Brady Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 31(1), pages 109-126, March.
- Robert A. Jarrow & David Lando & Stuart M. Turnbull, 2008.
"A Markov Model for the Term Structure of Credit Risk Spreads,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 18, pages 411-453,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Lando, David & Turnbull, Stuart M, 1997. "A Markov Model for the Term Structure of Credit Risk Spreads," Review of Financial Studies, Society for Financial Studies, vol. 10(2), pages 481-523.
- Pinches, George E & Singleton, J Clay, 1978. "The Adjustment of Stock Prices to Bond Rating Changes," Journal of Finance, American Finance Association, vol. 33(1), pages 29-44, March.
- Sanjiv Ranjan Das & Rangarajan K. Sundaram, 2000. "A Discrete-Time Approach to Arbitrage-Free Pricing of Credit Derivatives," Management Science, INFORMS, vol. 46(1), pages 46-62, January.
- Robert A. Jarrow & Stuart M. Turnbull, 2008.
"Pricing Derivatives on Financial Securities Subject to Credit Risk,"
World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 17, pages 377-409,
World Scientific Publishing Co. Pte. Ltd..
- Jarrow, Robert A & Turnbull, Stuart M, 1995. "Pricing Derivatives on Financial Securities Subject to Credit Risk," Journal of Finance, American Finance Association, vol. 50(1), pages 53-85, March.
- Merton, Robert C, 1974.
"On the Pricing of Corporate Debt: The Risk Structure of Interest Rates,"
Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
- Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Leland, Hayne E & Toft, Klaus Bjerre, 1996.
"Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads,"
Journal of Finance, American Finance Association, vol. 51(3), pages 987-1019, July.
- Hayne E. Leland and Klaus Bjerre Toft., 1995. "Optimal Capital Structure, Endogenous Bankruptcy, and the Term Structure of Credit Spreads," Research Program in Finance Working Papers RPF-259, University of California at Berkeley.
- Longstaff, Francis A & Schwartz, Eduardo S, 1995. "A Simple Approach to Valuing Risky Fixed and Floating Rate Debt," Journal of Finance, American Finance Association, vol. 50(3), pages 789-819, July.
- Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
- Estrella, Arturo & Hardouvelis, Gikas A, 1991.
"The Term Structure as a Predictor of Real Economic Activity,"
Journal of Finance, American Finance Association, vol. 46(2), pages 555-576, June.
- Arturo Estrella & Gikas A. Hardouvelis, 1989. "The term structure as a predictor of real economic activity," Research Paper 8907, Federal Reserve Bank of New York.
- Harvey, Campbell R., 1988. "The real term structure and consumption growth," Journal of Financial Economics, Elsevier, vol. 22(2), pages 305-333, December.
- Klein, Peter, 1996. "Pricing Black-Scholes options with correlated credit risk," Journal of Banking & Finance, Elsevier, vol. 20(7), pages 1211-1229, August.
- Cossin, Didier & Pirotte, Hugues, 1997.
"Swap credit risk: An empirical investigation on transaction data,"
Journal of Banking & Finance, Elsevier, vol. 21(10), pages 1351-1373, October.
- Hugues Pirotte & Didier Cossin, 1997. "Swap Credit Risk: An Empirical Investigation on Transaction Data," Working Papers CEB 97-001, ULB -- Universite Libre de Bruxelles.
- Kaufold, Howard & Smirlock, Michael, 1991. "The impact of credit risk on the pricing and duration of floating-rate notes," Journal of Banking & Finance, Elsevier, vol. 15(1), pages 43-52, February.
- Gregory D. Sutton, 1998. "Spread overreaction in international bond markets," BIS Working Papers 55, Bank for International Settlements.
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Blumenstock, Hendrik & von Grone, Udo & Mehlhorn, Marc & Merkl, Johannes & Pietz, Marcus, 2012. "Einflussfaktoren von CDS-Spreads als Maß für das aktuelle Bonitätsrisiko: Liefert das Rating eine Erklärung?," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers) 2012-03, University of Bayreuth, Chair of Finance and Banking.
- Sergio Mayordomo & Juan Ignacio PeÃ±a & Eduardo S. Schwartz, 2014.
"Are All Credit Default Swap Databases Equal?,"
European Financial Management, European Financial Management Association, vol. 20(4), pages 677-713, September.
- Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," NBER Working Papers 16590, National Bureau of Economic Research, Inc.
- Schwartz, Eduardo S. & Peña Sánchez de Rivera, Juan Ignacio & Mayordomo, Sergio, 2010. "Are all Credit Default Swap databases equal?," DEE - Working Papers. Business Economics. WB wb104621, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
- Sergio Mayordomo & Juan Ignacio Peña & Eduardo S. Schwartz, 2010. "Are all Credit Default Swap Databases Equal?," CNMV Working Papers CNMV Working Papers no. 4, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
- Calice, Giovanni & Ioannidis, Christos & Miao, RongHui, 2016. "A Markov switching unobserved component analysis of the CDX index term premium," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 189-204.
- Gregor Dorfleitner & Paul Schneider & Tanja Veža, 2011. "Flexing the default barrier," Quantitative Finance, Taylor & Francis Journals, vol. 11(12), pages 1729-1743.
- Naifar, Nader, 2012. "Modeling the dependence structure between default risk premium, equity return volatility and the jump risk: Evidence from a financial crisis," Economic Modelling, Elsevier, vol. 29(2), pages 119-131.
- Virginie Coudert & Mathieu Gex, 2010. "Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers," Revue d'Économie Financière, Programme National Persée, vol. 97(2), pages 15-34.
- Paulo Pereira da Silva, 2016. "Did Investors Seeking Short Exposure Move to the CDS Market after the 2011 Short-Sale Bans in European Financial Stocks?," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(4), pages 322-353, August.
- François Guillemin & Hervé Alexandre & Catherine Refait-Alexandre, 2015. "Downgrades of sovereign credit ratings and impact on banks CDS spread: does disclosure by banks improve stability?," Post-Print hal-01622782, HAL.
- Manmohan Singh & Jochen R. Andritzky, 2006. "The Pricing of Credit Default Swaps During Distress," IMF Working Papers 06/254, International Monetary Fund.
- Nasiri, Maryam Akbari & Narayan, Paresh Kumar & Mishra, Sagarika, 2019. "Reaction of the credit default swap market to the release of periodic financial reports," International Review of Financial Analysis, Elsevier, vol. 65(C).
- Jan De Wit, 2006. "Exploring the CDS-Bond Basis," Working Paper Research 104, National Bank of Belgium.
- Clothilde Lesplingart & Christophe Majois & Mikael Petitjean, 2012.
"Liquidity and CDS premiums on European companies around the Subprime crisis,"
Review of Derivatives Research, Springer, vol. 15(3), pages 257-281, October.
- LESPLINGART, Clothilde & MAJOIS, Christophe & PETITJEAN, Mikael, 2012. "Liquidity and CDS premiums on European companies around the Subprime crisis," LIDAM Reprints CORE 2440, UniversitÃ© catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
- Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "An international forensic perspective of the determinants of bank CDS spreads," Journal of Financial Stability, Elsevier, vol. 33(C), pages 60-70.
- Enrico Laghi & Michele Di Marcantonio & Eugenio D'Amico, 2014. "Estimating credit default swap spreads using accounting data, market quotes and credit ratings: the European Banks Case," FINANCIAL REPORTING, FrancoAngeli Editore, vol. 2014(2-3-4), pages 59-81.
- Nan Hu & Ling Liu & Lu Zhu, 2018. "Credit default swap spreads and annual report readability," Review of Quantitative Finance and Accounting, Springer, vol. 50(2), pages 591-621, February.
- Qing Bai & Lu Zhu, 2018. "The Effects of Industry Specific and Local Economic Factors on Credit Default Swap Spreads: Evidence from REITs," Journal of Financial Services Research, Springer;Western Finance Association, vol. 54(3), pages 293-321, December.
- Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
- Antonio Di Cesare & Giovanni Guazzarotti, 2010. "An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil," Temi di discussione (Economic working papers) 749, Bank of Italy, Economic Research and International Relations Area.
- Pereira, John & Sorwar, Ghulam & Nurullah, Mohamed, 2018. "What drives corporate CDS spreads? A comparison across US, UK and EU firms," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 188-200.
More about this item
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:fam:rpseri:rp65. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ridima Mittal). General contact details of provider: http://edirc.repec.org/data/fameech.html .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.