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Exploring the components of credit risk in credit default swaps

Citations

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Cited by:

  1. Yang Liu & Bruce Morley, 2012. "Sovereign credit default swaps and the macroeconomy," Applied Economics Letters, Taylor & Francis Journals, vol. 19(2), pages 129-132, February.
  2. Jiri Podpiera & Ms. Inci Ötker, 2010. "The Fundamental Determinants of Credit Default Risk for European Large Complex Financial Institutions," IMF Working Papers 2010/153, International Monetary Fund.
  3. Okimoto, Tatsuyoshi & Takaoka, Sumiko, 2024. "Credit default swaps and corporate carbon emissions in Japan," Energy Economics, Elsevier, vol. 133(C).
  4. Kargi, Bilal, 2014. "Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, vol. 10(1), pages 59-66.
  5. Miroslav Mateev, 2019. "Volatility relation between credit default swap and stock market: new empirical tests," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(4), pages 681-712, October.
  6. Benbouzid, Nadia & Leonida, Leone & Mallick, Sushanta K., 2018. "The non-monotonic impact of bank size on their default swap spreads: Cross-country evidence," International Review of Financial Analysis, Elsevier, vol. 55(C), pages 226-240.
  7. Bertoni, Fabio & Lugo, Stefano, 2014. "The effect of sovereign wealth funds on the credit risk of their portfolio companies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 21-35.
  8. Hsin-Hui Chiu & Eva Wagner, 2020. "CEO Bonus Pay and Firm Credit Risk," International Journal of Risk and Contingency Management (IJRCM), IGI Global Scientific Publishing, vol. 9(1), pages 1-19, January.
  9. 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, revised Feb 2015.
  10. 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.
  11. Yuze Li & Shangrong Jiang & Yunjie Wei & Shouyang Wang, 2021. "Take Bitcoin into your portfolio: a novel ensemble portfolio optimization framework for broad commodity assets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-26, December.
  12. Antonio Trujillo-Ponce & Reyes Samaniego-Medina & Clara Cardone-Riportella, 2014. "Examining what best explains corporate credit risk: accounting-based versus market-based models," Journal of Business Economics and Management, Taylor & Francis Journals, vol. 15(2), pages 253-276, April.
  13. 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.
  14. Chang, Jung-Hsien & Hung, Mao-Wei & Tsai, Feng-Tse, 2015. "Credit contagion and competitive effects of bond rating downgrades along the supply chain," Finance Research Letters, Elsevier, vol. 15(C), pages 232-238.
  15. Drago, Danilo & Tommaso, Caterina Di & Thornton, John, 2017. "What determines bank CDS spreads? Evidence from European and US banks," Finance Research Letters, Elsevier, vol. 22(C), pages 140-145.
  16. Benbouzid, Nadia & Kumar, Abhishek & Mallick, Sushanta K. & Sousa, Ricardo M. & Stojanovic, Aleksandar, 2022. "Bank credit risk and macro-prudential policies: Role of counter-cyclical capital buffer," Journal of Financial Stability, Elsevier, vol. 63(C).
  17. Guesmi, Khaled & Dhaoui, Abderrazak & Goutte, Stéphane & Abid, Ilyes, 2018. "On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 56(C), pages 233-254.
  18. Steven Lecce & Andrew Lepone & Michael D. McKenzie & Jin Boon Wong & Jin Y. Yang, 2018. "Short‐selling and credit default swap spreads—Where do informed traders trade?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 38(8), pages 925-942, August.
  19. Emrah BALKAN & Umut UYAR, 2022. "The Fractal Structure of CDS Spreads: Evidence from the OECD Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 106-121, April.
  20. repec:pab:wpbsad:12.07 is not listed on IDEAS
  21. Völz, Manja & Wedow, Michael, 2011. "Market discipline and too-big-to-fail in the CDS market: Does banks' size reduce market discipline?," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 195-210, March.
  22. Petra Buzkova & Milos Kopa, 2016. "On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 66(6), pages 510-538, December.
  23. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "Do country-level financial structures explain bank-level CDS spreads?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 48(C), pages 135-145.
  24. Jean‐François Bégin & Mathieu Boudreault & Mathieu Thériault, 2024. "Leveraging prices from credit and equity option markets for portfolio risk management," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 122-147, January.
  25. Taurai Muvunza & Yong Jiang, 2023. "Determinants and hedging effectiveness of China's sovereign credit default swaps," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 2074-2087, April.
  26. 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.
  27. 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.
  28. Samaniego-Medina, Reyes & Trujillo-Ponce, Antonio & Parrado-Martínez, Purificación & di Pietro, Filippo, 2016. "Determinants of bank CDS spreads in Europe," Journal of Economics and Business, Elsevier, vol. 86(C), pages 1-15.
  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. Benbouzid, Nadia & Mallick, Sushanta, 2013. "Determinants of bank credit default swap spreads: The role of the housing sector," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 243-259.
  31. repec:eid:wpaper:03/11 is not listed on IDEAS
  32. Miroslav Mateev & Elena Marinova, 2019. "Relation between Credit Default Swap Spreads and Stock Prices: A Non-linear Perspective," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(1), pages 1-26, January.
  33. 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.
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