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Citations for "The Determinants of Credit Default Swap Premia"

by Jan Ericsson & Kris Jacobs & Rodolfo A. Oviedo

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  1. Avino, Davide & Cotter, John, 2014. "Sovereign and bank CDS spreads: Two sides of the same coin?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 32(C), pages 72-85.
  2. Qiu, Jiaping & Yu, Fan, 2009. "The market for corporate control and the cost of debt," Journal of Financial Economics, Elsevier, vol. 93(3), pages 505-524, September.
  3. Ouarda Merrouche & Enrica Detragiache & Asli Demirgüç-Kunt, 2010. "Bank Capital: Lessons From the Financial Crisis," IMF Working Papers 10/286, International Monetary Fund.
  4. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer, vol. 20(4), pages 311-344, November.
  5. Shawkat Hammoudeh & Tengdong Liu & Chia-Lin Chang & Michael McAleer, 2011. "Risk Spillovers in Oil-Related CDS, Stock and Credit Markets," Working Papers in Economics 11/17, University of Canterbury, Department of Economics and Finance.
  6. Jacob Bikker & Dirk Gerritsen & Steffie Schwillens, 2016. "Competing for savings: how important is creditworthiness during the crisis?," DNB Working Papers 493, Netherlands Central Bank, Research Department.
  7. repec:pab:wpbsad:12.07 is not listed on IDEAS
  8. Das, Sanjiv R. & Hanouna, Paul & Sarin, Atulya, 2009. "Accounting-based versus market-based cross-sectional models of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 33(4), pages 719-730, April.
  9. Tang, Dragon Yongjun & Yan, Hong, 2010. "Market conditions, default risk and credit spreads," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 743-753, April.
  10. Stuart M. Turnbull & Jun Yang, 2008. "Default Dependence: The Equity Default Relationship," Staff Working Papers 08-1, Bank of Canada.
  11. Adam B. Ashcraft & Joao A. C. Santos, 2006. "Has the development of the structured credit market affected the cost of corporate debt?," Proceedings, Federal Reserve Bank of San Francisco, issue Nov.
  12. Ingo Fender & Bernd Hayo & Matthias Neuenkirch, 2011. "Daily CDS pricing in emerging markets before and during the global financial crisis," MAGKS Papers on Economics 201139, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).
  13. Carmen Broto & Gabriel Perez-Quiros, 2013. "Disentangling contagion among sovereign cds spreads during the european debt crisis," Banco de Espa�a Working Papers 1314, Banco de Espa�a.
  14. Kapadia, Nikunj & Pu, Xiaoling, 2012. "Limited arbitrage between equity and credit markets," Journal of Financial Economics, Elsevier, vol. 105(3), pages 542-564.
  15. Lamia Bekkour & Thorsten Lehnert & Maria Chiara Amadari, 2011. "The Relative Informational Efficiency of Stocks, Options and Credit Default Swaps," LSF Research Working Paper Series 11-04, Luxembourg School of Finance, University of Luxembourg.
  16. Enrique Alberola & Luis Molina & Pedro del Río, 2012. "Boom-bust cycles, imbalances and discipline in Europe," Banco de Espa�a Working Papers 1220, Banco de Espa�a.
  17. Bernardo León & Andrés Mora, 2011. "CDS: relación con índices accionarios y medida de riesgo," Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 178-211.
  18. Jonatan Groba & Juan Ángel Lafuente & Pedro Serrano, 2014. "On the compensation for illiquidity in sovereign credit markets," Business Economics Working Papers wb142911, Universidad Carlos III, Departamento de Economía de la Empresa.
  19. Ratner, Mitchell & Chiu, Chih-Chieh (Jason), 2013. "Hedging stock sector risk with credit default swaps," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 18-25.
  20. Caitlin Ann Greatrex, 2008. "The Credit Default Swap Market's Reaction to Earnings Announcements," Fordham Economics Discussion Paper Series dp2008-06, Fordham University, Department of Economics.
  21. Hernandez Tinoco, Mario & Wilson, Nick, 2013. "Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 394-419.
  22. Han, Bing & Zhou, Yi, 2015. "Understanding the term structure of credit default swap spreads," Journal of Empirical Finance, Elsevier, vol. 31(C), pages 18-35.
  23. Kalimipalli, Madhu & Nayak, Subhankar & Perez, M. Fabricio, 2013. "Dynamic effects of idiosyncratic volatility and liquidity on corporate bond spreads," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 2969-2990.
  24. Hasan, Iftekhar & Liu, Liuling & Zhang, Gaiyan, 2014. "The determinants of global bank credit-default-swap spreads," Research Discussion Papers 33/2014, Bank of Finland.
  25. Peter Christoffersen & Kris Jacobs & Xisong Jin & Hugues Langlois, 2013. "Dynamic Diversification in Corporate Credit," CREATES Research Papers 2013-46, School of Economics and Management, University of Aarhus.
  26. Susan S Sharma & Kannan Thuraisamy, 2012. "Oil Price Uncertainty and Sovereign Risk: Evidence from Asian Economies," Financial Econometics Series 2012_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  27. Marra, Miriam, 2015. "The impact of liquidity on senior credit index spreads during the subprime crisis," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 148-167.
  28. Kim, Suk-Joong & Salem, Leith & Wu, Eliza, 2015. "The role of macroeconomic news in sovereign CDS markets: Domestic and spillover news effects from the U.S., the Eurozone and China," Journal of Financial Stability, Elsevier, vol. 18(C), pages 208-224.
  29. Paresh K Narayan, . "An Analysis of Sectoral Equity and CDS Spreads," Financial Econometics Series 2015_02, Deakin University, Faculty of Business and Law, School of Accounting, Economics and Finance.
  30. Augustin, Patrick & Subrahmanyam, Marti G. & Tang, Dragon Yongjun & Wang, Sarah Qian, 2014. "Credit Default Swaps: A Survey," Foundations and Trends(R) in Finance, now publishers, vol. 9(1-2), pages 1-196, December.
  31. Díaz, Antonio & Groba, Jonatan & Serrano, Pedro, 2013. "What drives corporate default risk premia? Evidence from the CDS market," Journal of International Money and Finance, Elsevier, vol. 37(C), pages 529-563.
  32. Leppin, Julia S. & Reitz, Stefan, 2014. "The Role of a Changing Market Environment for Credit Default Swap Pricing," FinMaP-Working Papers 7, Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents.
  33. Jiri Podpiera & Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 10/153, International Monetary Fund.
  34. Hilscher, Jens & Pollet, Joshua M. & Wilson, Mungo, 2015. "Are Credit Default Swaps a Sideshow? Evidence That Information Flows from Equity to CDS Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 50(03), pages 543-567, June.
  35. Gündüz, Yalin & Kaya, Orcun, 2013. "Sovereign default swap market efficiency and country risk in the eurozone," Discussion Papers 08/2013, Deutsche Bundesbank, Research Centre.
  36. Wang, Hao & Zhou, Hao & Zhou, Yi, 2013. "Credit default swap spreads and variance risk premia," Journal of Banking & Finance, Elsevier, vol. 37(10), pages 3733-3746.
  37. Fender, Ingo & Scheicher, Martin, 2009. "The pricing of subprime mortgage risk in good times and bad: evidence from the ABX.HE indices," Working Paper Series 1056, European Central Bank.
  38. Benjamin E. Hermalin & Michael S. Weisbach, 2012. "Information Disclosure and Corporate Governance," Journal of Finance, American Finance Association, vol. 67(1), pages 195-234, 02.
  39. Pu, Xiaoling & Zhao, Xinlei, 2012. "Correlation in credit risk changes," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 1093-1106.
  40. Cathy Chen & Wolfgang Härdle, 2015. "Common factors in credit defaults swap markets," Computational Statistics, Springer, vol. 30(3), pages 845-863, September.
  41. Maria Gelman & Axel Jochem & Stefan Reitz & Mark P. Taylor, 2014. "Real Financial Market Exchange Rates and Capital Flows," Kiel Working Papers 1945, Kiel Institute for the World Economy.
  42. Mutl, Jan & Sögner, Leopold, 2013. "Parameter Estimation and Inference with Spatial Lags and Cointegration," Economics Series 296, Institute for Advanced Studies.
  43. Barry Eichengreen & Ashoka Mody & Milan Nedeljkovic & Lucio Sarno, 2009. "How the Subprime Crisis Went Global: Evidence from Bank Credit Default Swap Spreads," NBER Working Papers 14904, National Bureau of Economic Research, Inc.
  44. Alexander, Carol & Kaeck, Andreas, 2008. "Regime dependent determinants of credit default swap spreads," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1008-1021, June.
  45. Scheicher, Martin & Raunig, Burkhard, 2008. "A value at risk analysis of credit default swaps," Discussion Paper Series 2: Banking and Financial Studies 2008,12, Deutsche Bundesbank, Research Centre.
  46. Yalin Gündüz & Marliese Uhrig-Homburg, 2014. "Does modeling framework matter? A comparative study of structural and reduced-form models," Review of Derivatives Research, Springer, vol. 17(1), pages 39-78, April.
  47. Chen, Li-Hsueh & Hammoudeh, Shawkat & Yuan, Yuan, 2011. "Asymmetric convergence in US financial credit default swap sector index markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 51(4), pages 408-418.
  48. Bjönnes, Geir H. & Holden, Steinar & Rime, Dagfinn & Solheim, Haakon O.Aa., 2005. "'Large' vs. 'Small' Players: A Closer Look at the Dynamics of Speculative Attacks," SIFR Research Report Series 38, Institute for Financial Research.
  49. Frank Zhang, 2010. "An empirical analysis of alternative recovery risk models and implied recovery rates," Review of Derivatives Research, Springer, vol. 13(2), pages 101-124, July.
  50. Cao, Charles & Yu, Fan & Zhong, Zhaodong, 2010. "The information content of option-implied volatility for credit default swap valuation," Journal of Financial Markets, Elsevier, vol. 13(3), pages 321-343, August.
  51. Forte, Santiago & Lovreta, Lidija, 2012. "Endogenizing exogenous default barrier models: The MM algorithm," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1639-1652.
  52. Carr, Peter & Wu, Liuren, 2007. "Theory and evidence on the dynamic interactions between sovereign credit default swaps and currency options," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2383-2403, August.
  53. Arce, Oscar & Mayordomo, Sergio & Peña, Juan Ignacio, 2013. "Credit-risk valuation in the sovereign CDS and bonds markets: Evidence from the euro area crisis," Journal of International Money and Finance, Elsevier, vol. 35(C), pages 124-145.
  54. Akram, Q. Farooq & Rime, Dagfinn & Sarno, Lucio, 2006. "Arbitrage in the Foreign Exchange Market: Turning on the Microscope," SIFR Research Report Series 42, Institute for Financial Research.
  55. Kalteier, Eva-Maria & Posch, Peter N., 2013. "Sovereign asset values and implications for the credit market," Review of Financial Economics, Elsevier, vol. 22(2), pages 53-60.
  56. Posch, Peter N & Kalteier, Eva-Maria, 2013. "Sovereign Asset Values and Implications for the Credit Market," Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79986, Verein für Socialpolitik / German Economic Association.
  57. Avino, Davide & Nneji, Ogonna, 2014. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 262-274.
  58. Jaewon Choi & Matthew P. Richardson & Robert F. Whitelaw, 2014. "On the Fundamental Relation Between Equity Returns and Interest Rates," NBER Working Papers 20187, National Bureau of Economic Research, Inc.
  59. 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.
  60. Kapar, B. & Olmo, J., 2011. "The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk," Working Papers 11/02, Department of Economics, City University London.
  61. Ramaprasad Bhar & Nedim Handzic, 2011. "A Multifactor Model of Credit Spreads," Asia-Pacific Financial Markets, Springer, vol. 18(1), pages 105-127, March.
  62. Keiler, Sebastian & Eder, Armin, 2013. "CDS spreads and systemic risk: A spatial econometric approach," Discussion Papers 01/2013, Deutsche Bundesbank, Research Centre.
  63. Romain Cuchet & Pascal François & Georges Hübner, 2011. "Currency Total Return Swaps: Valuation and Risk Factor Analysis," Cahiers de recherche 1128, CIRPEE.
  64. M. Kabir Hassan & Thiti S. Ngow & Jung Suk-Yu, 2011. "Determinants of Credit Default Swaps in International Markets," NFI Working Papers 2011-WP-01, Indiana State University, Scott College of Business, Networks Financial Institute.
  65. Daniel Jubinski & Amy F. Lipton, 2012. "Equity volatility, bond yields, and yield spreads," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 32(5), pages 480-503, 05.
  66. Fathi, Abid & Nader, Naifar, 2007. "Copula based simulation procedures for pricing basket Credit Derivatives," MPRA Paper 6014, University Library of Munich, Germany.
  67. Kallberg, Jarl & Liu, Crocker H. & Villupuram, Sriram, 2013. "Preferred stock: Some insights into capital structure," Journal of Corporate Finance, Elsevier, vol. 21(C), pages 77-86.
  68. Filippo Coro & Alfonso Dufour & Simone Varotto, 2012. "The Time Varying Properties of Credit and Liquidity Components of CDS Spreads," ICMA Centre Discussion Papers in Finance icma-dp2012-06, Henley Business School, Reading University.
  69. Fender, Ingo & Hayo, Bernd & Neuenkirch, Matthias, 2012. "Daily pricing of emerging market sovereign CDS before and during the global financial crisis," Journal of Banking & Finance, Elsevier, vol. 36(10), pages 2786-2794.
  70. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  71. Da Fonseca, José & Gottschalk, Katrin, 2014. "Cross-hedging strategies between CDS spreads and option volatility during crises," Journal of International Money and Finance, Elsevier, vol. 49(PB), pages 386-400.
  72. Galil, Koresh & Shapir, Offer Moshe & Amiram, Dan & Ben-Zion, Uri, 2014. "The determinants of CDS spreads," Journal of Banking & Finance, Elsevier, vol. 41(C), pages 271-282.
  73. Lafuente, Juan Angel & Serrano, Pedro, 2015. "On the compensation for illiquidity in sovereign credit markets," Journal of Multinational Financial Management, Elsevier, vol. 30(C), pages 83-100.
  74. Dreber, Anna & Rand, David G. & Garcia, Justin R. & Wernerfelt, Nils & Lum, J. Koji & Zeckhauser, Richard, 2010. "Dopamine and Risk Preferences in Different Domains," SIFR Research Report Series 71, Institute for Financial Research.
  75. 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.
  76. Giammarino, Flavia & Barrieu, Pauline, 2009. "A semiparametric model for the systematic factors of portfolio credit risk premia," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 655-670, September.
  77. Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
  78. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," Papers 2013-10-14, Working Paper.
  79. Völz, Manja & Wedow, Michael, 2009. "Does banks size distort market prices? Evidence for too-big-to-fail in the CDS market," Discussion Paper Series 2: Banking and Financial Studies 2009,06, Deutsche Bundesbank, Research Centre.
  80. Corò, Filippo & Dufour, Alfonso & Varotto, Simone, 2013. "Credit and liquidity components of corporate CDS spreads," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5511-5525.
  81. Batten, Jonathan A. & Jacoby, Gady & Liao, Rose C., 2014. "Corporate yield spreads and real interest rates," International Review of Financial Analysis, Elsevier, vol. 34(C), pages 89-100.
  82. Hao Wang & Hao Zhou & Yi Zhou, 2011. "Credit default swap spreads and variance risk premia," Finance and Economics Discussion Series 2011-02, Board of Governors of the Federal Reserve System (U.S.).
  83. Fontana, Alessandro & Scheicher, Martin, 2016. "An analysis of euro area sovereign CDS and their relation with government bonds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 126-140.
  84. Benjamin Yibin Zhang & Hao Zhou & Haibin Zhu, 2009. "Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms," Review of Financial Studies, Society for Financial Studies, vol. 22(12), pages 5099-5131, December.
  85. Fontana, Alessandro & Scheicher, Martin, 2010. "An analysis of euro area sovereign CDS and their relation with government bonds," Working Paper Series 1271, European Central Bank.
  86. Sorin Gabriel Anton, 2011. "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 58, pages 41-52, november.
  87. Caitlin Ann Greatrex, 2008. "The Credit Default Swap Market's Determinants," Fordham Economics Discussion Paper Series dp2008-05, Fordham University, Department of Economics.
  88. Alexandru Monahov, 2015. "The Effects of Prudential Supervision on Bank Resiliency and Profits in a Multi-Agent Setting," GREDEG Working Papers 2015-24, Groupe de REcherche en Droit, Economie, Gestion (GREDEG CNRS), University of Nice Sophia Antipolis.
  89. Jing-zhi Huang & Hao Zhou, 2008. "Specification analysis of structural credit risk models," Finance and Economics Discussion Series 2008-55, Board of Governors of the Federal Reserve System (U.S.).
  90. Rainer Jobst & Daniel Rösch & Harald Scheule & Martin Schmelzle, 2015. "A Simple Econometric Approach for Modeling Stress Event Intensities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 35(4), pages 300-320, 04.
  91. Wisniewski, Tomasz Piotr & Lambe, Brendan John, 2015. "Does economic policy uncertainty drive CDS spreads?," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 447-458.
  92. Haerri, Matthias & Morkoetter, Stefan & Westerfeld, Simone, 2014. "Sovereign Risk and the Pricing of Corporate Credit Default Swaps," Working Papers on Finance 1423, University of St. Gallen, School of Finance.
  93. Guarin, Alexander & Liu, Xiaoquan & Ng, Wing Lon, 2014. "Recovering default risk from CDS spreads with a nonlinear filter," Journal of Economic Dynamics and Control, Elsevier, vol. 38(C), pages 87-104.
  94. Kalimipalli, Madhu & Nayak, Subhankar, 2012. "Idiosyncratic volatility vs. liquidity? Evidence from the US corporate bond market," Journal of Financial Intermediation, Elsevier, vol. 21(2), pages 217-242.
  95. Rydqvist, Kristian, 2010. "Tax Arbitrage with Risk and Effort Aversion - Swedish Lottery Bonds 1970-1990," SIFR Research Report Series 70, Institute for Financial Research.
  96. Zhang, Gaiyan & Zhang, Sanjian, 2013. "Information efficiency of the U.S. credit default swap market: Evidence from earnings surprises," Journal of Financial Stability, Elsevier, vol. 9(4), pages 720-730.
  97. Berg, Tobias, 2010. "The term structure of risk premia: new evidence from the financial crisis," Working Paper Series 1165, European Central Bank.
  98. Ann Marie Hibbert & Ivelina Pavlova & Joel Barber & Krishnan Dandapani, 2011. "Credit Spread Changes and Equity Volatility: Evidence from Daily Data," The Financial Review, Eastern Finance Association, vol. 46(3), pages 357-383, 08.
  99. Mario Cerrato & John Crosby & Minjoo Kim & Yang Zhao, 2015. "Correlated Defaults of UK Banks: Dynamics and Asymmetries," Working Papers 2015_24, Business School - Economics, University of Glasgow.
  100. Arouri, Mohamed & Hammoudeh, Shawkat & Jawadi, Fredj & Nguyen, Duc Khuong, 2014. "Financial linkages between US sector credit default swaps markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 33(C), pages 223-243.
  101. Huang, Hsing-Hua & Lee, Han-Hsing, 2013. "Product market competition and credit risk," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 324-340.
  102. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2012. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Working Papers 12.03, Universidad Pablo de Olavide, Department of Financial Economics and Accounting (former Department of Business Administration).
  103. Avino, Davide & Cotter, John, 2013. "Sovereign and bank CDS spreads: two sides of the same coin for European bank default predictability?," MPRA Paper 56782, University Library of Munich, Germany.
  104. Fabozzi, Frank J. & Cheng, Xiaolin & Chen, Ren-Raw, 2007. "Exploring the components of credit risk in credit default swaps," Finance Research Letters, Elsevier, vol. 4(1), pages 10-18, March.
  105. Christian Meine & Hendrik Supper & Gregor Weiß, 2015. "Do CDS spreads move with commonality in liquidity?," Review of Derivatives Research, Springer, vol. 18(3), pages 225-261, October.
  106. Ramaprasad Bhar, 2010. "Stochastic Filtering With Applications In Finance:," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7736.
  107. Oldani, Chiara, 2011. "The Management of Greek Sovereign Risk," MPRA Paper 36195, University Library of Munich, Germany.
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