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Citations for "Pricing default swaps: empirical evidence"

by Houweling, P. & Vorst, A.C.F.

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  1. 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.
  2. Wagner, Stephan M. & Bode, Christoph & Koziol, Philipp, 2011. "Negative default dependence in supplier networks," International Journal of Production Economics, Elsevier, vol. 134(2), pages 398-406, December.
  3. Norden, Lars & Wagner, Wolf, 2008. "Credit derivatives and loan pricing," Journal of Banking & Finance, Elsevier, vol. 32(12), pages 2560-2569, December.
  4. Hai Lin & Chunchi Wu, 2013. "Term Structure of Default-Free and Defaultable Securities: Theory and Empirical Evidence," Papers 2013-10-14, Journal.
  5. Ericsson, Jan & Jacobs, Kris & Oviedo, Rodolfo, 2009. "The Determinants of Credit Default Swap Premia," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(01), pages 109-132, February.
  6. Avino, Davide & Nneji, Ogonna, 2012. "Are CDS spreads predictable? An analysis of linear and non-linear forecasting models," MPRA Paper 42848, University Library of Munich, Germany.
  7. Biao Guo & Qian Han & Doojin Ryu, 2013. "The Number of State Variables for CDS Pricing," Papers 2013-10-14, Working Paper.
  8. Julian S. Leppin & Stefan Reitz, 2014. "Real Financial Market Exchange Rates and Capital Flows," Kiel Working Papers 1946, Kiel Institute for the World Economy.
  9. Li, Nan, 2004. "The Implied Benchmark Rate in the Credit Default Swap Market of Sovereign Bonds," MPRA Paper 10014, University Library of Munich, Germany.
  10. 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.
  11. Meng, Lei & Verousis, Thanos & ap Gwilym, Owain, 2013. "A substitution effect between price clustering and size clustering in credit default swaps," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 139-152.
  12. Jankowitsch, Rainer & Pullirsch, Rainer & Veza, Tanja, 2008. "The delivery option in credit default swaps," Journal of Banking & Finance, Elsevier, vol. 32(7), pages 1269-1285, July.
  13. Carol Alexander & Andreas Kaeck, 2006. "Regimes in CDS Spreads: A Markov Switching Model of iTraxx Europe Indices," ICMA Centre Discussion Papers in Finance icma-dp2006-08, Henley Business School, Reading University.
  14. 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.
  15. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Which market drives credit spreads in tranquil and crisis periods? An analysis of the contribution to price discovery of bonds, CDS, stocks and options," MPRA Paper 56781, University Library of Munich, Germany.
  16. Song Han & Hao Zhou, 2011. "Effects of Liquidity on the Nondefault Component of Corporate Yield Spreads: Evidence from Intraday Transactions Data," Working Papers 022011, Hong Kong Institute for Monetary Research.
  17. Delatte, Anne-Laure & Gex, Mathieu & López-Villavicencio, Antonia, 2012. "Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis?," Journal of International Money and Finance, Elsevier, vol. 31(3), pages 481-497.
  18. 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.
  19. Belke, Ansgar & Gokus, Christian, 2011. "Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions," Ruhr Economic Papers 243, Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI), Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
  20. Ahmed, Javed I. & Anderson, Christopher W. & Zarutskie, Rebecca, 2015. "Are the Borrowing Costs of Large Financial Firms Unusual?," Finance and Economics Discussion Series 2015-24, Board of Governors of the Federal Reserve System (U.S.).
  21. Peat, Maurice & Svec, Jiri & Wang, Jue, 2015. "The effects of fiscal opacity on sovereign credit spreads," Emerging Markets Review, Elsevier, vol. 24(C), pages 34-45.
  22. Benjamin Y. Zhang & Hao Zhou & Haibin Zhu, 2005. "Explaining credit default swap spreads with the equity volatility and jump risks of individual firms," Finance and Economics Discussion Series 2005-63, Board of Governors of the Federal Reserve System (U.S.).
  23. Hann-Shing Ju & Ren-Raw Chen & Shih-Kuo Yeh & Tung-Hsiao Yang, 2015. "Evaluation of conducting capital structure arbitrage using the multi-period extended Geske–Johnson model," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 89-111, January.
  24. Michael Adler & Jeong Song, 2010. "The behavior of emerging market sovereigns' credit default swap premiums and bond yield spreads," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 15(1), pages 31-58.
  25. Rosella Castellano & Luisa Scaccia, 2014. "Can CDS indexes signal future turmoils in the stock market? A Markov switching perspective," Central European Journal of Operations Research, Springer, vol. 22(2), pages 285-305, June.
  26. Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin 1107, DIW Berlin, German Institute for Economic Research.
  27. 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.
  28. Rubia, Antonio & Sanchis-Marco, Lidia & Serrano, Pedro, 2016. "Market frictions and the pricing of sovereign credit default swaps," Journal of International Money and Finance, Elsevier, vol. 60(C), pages 223-252.
  29. Kwamie Dunbar, 2008. "US corporate default swap valuation: the market liquidity hypothesis and autonomous credit risk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 321-334.
  30. Podlich, Natalia & Wedow, Michael, 2011. "Credit contagion between financial systems," Discussion Paper Series 2: Banking and Financial Studies 2011,15, Deutsche Bundesbank, Research Centre.
  31. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
  32. Dunbar, Kwamie & Amin, Abu S., 2012. "Credit risk dynamics in response to changes in the federal funds target: The implication for firm short-term debt," Review of Financial Economics, Elsevier, vol. 21(3), pages 141-152.
  33. Carolyne Spackman & Manmohan Singh, 2009. "The Use (and Abuse) of CDS Spreads During Distress," IMF Working Papers 09/62, International Monetary Fund.
  34. Herbertsson, Alexander & Rootzén, Holger, 2007. "Pricing k-th-to-default Swaps under Default Contagion: The Matrix-Analytic Approach," Working Papers in Economics 269, University of Gothenburg, Department of Economics.
  35. repec:rwi:repape:0243 is not listed on IDEAS
  36. Avino, Davide & Lazar, Emese & Varotto, Simone, 2012. "Price Discovery of Credit Spreads in Tranquil and Crisis Periods," MPRA Paper 42847, University Library of Munich, Germany.
  37. Adam B. Ashcraft & João A. C. Santos, 2007. "Has the credit derivatives swap market lowered the cost of corporate debt?," Staff Reports 290, Federal Reserve Bank of New York.
  38. M. Kabir Hassan & Geoffrey M. Ngene & Jung Suk-Yu, 2011. "Credit Default Swaps and Sovereign Debt Markets," NFI Working Papers 2011-WP-03, Indiana State University, Scott College of Business, Networks Financial Institute.
  39. Hertrich, Markus, 2015. "Does Credit Risk Impact Liquidity Risk? Evidence from Credit Default Swap Markets," MPRA Paper 67837, University Library of Munich, Germany.
  40. 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.
  41. 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.).
  42. 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.
  43. Arnold, Marc & Schuette, Dustin & Wagner, Alexander, 2014. "Neglected Risk: Evidence from Structured Product Counterparty Exposure," Working Papers on Finance 1406, University of St. Gallen, School of Finance, revised Jan 2016.
  44. Marat Kurbangaleev & Victor Lapshin & Sergey N. Smirnov, 2015. "Study of Consistency of Bond and CDS Quotes," HSE Working papers WP BRP 43/FE/2015, National Research University Higher School of Economics.
  45. Chan, Kam Fong & Marsden, Alastair, 2014. "Macro risk factors of credit default swap indices in a regime-switching framework," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 29(C), pages 285-308.
  46. Jorion, Philippe & Zhang, Gaiyan, 2007. "Good and bad credit contagion: Evidence from credit default swaps," Journal of Financial Economics, Elsevier, vol. 84(3), pages 860-883, June.
  47. Kucuk, Ugur N., 2010. "Non-default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market," MPRA Paper 27428, University Library of Munich, Germany.
  48. Giovanni Palmerio, 2009. "Some Thoughts on Financial Innovation and Financial Crises," The AMFITEATRU ECONOMIC journal, Academy of Economic Studies - Bucharest, Romania, vol. 11(26), pages 522-532, June.
  49. Christopher F Baum & Chi Wan, 2009. "Macroeconomic Uncertainty and Credit Default Swap Spreads," Boston College Working Papers in Economics 724, Boston College Department of Economics, revised 03 Mar 2010.
  50. 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.
  51. Badaoui, Saad & Cathcart, Lara & El-Jahel, Lina, 2013. "Do sovereign credit default swaps represent a clean measure of sovereign default risk? A factor model approach," Journal of Banking & Finance, Elsevier, vol. 37(7), pages 2392-2407.
  52. Samuel Chege Maina, 2011. "Credit Risk Modelling in Markovian HJM Term Structure Class of Models with Stochastic Volatility," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5, August.
  53. Yalin Gündüz & Torsten Lüdecke & Marliese Uhrig-Homburg, 2007. "Trading Credit Default Swaps via Interdealer Brokers," Journal of Financial Services Research, Springer, vol. 32(3), pages 141-159, December.
  54. Haibin Zhu, 2006. "An Empirical Comparison of Credit Spreads between the Bond Market and the Credit Default Swap Market," Journal of Financial Services Research, Springer, vol. 29(3), pages 211-235, June.
  55. 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.
  56. 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.
  57. Kanak Patel & Ricardo Pereira, 2008. "Pricing Property Index Linked Swaps with Counterparty Default Risk," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 5-21, January.
  58. Juan Ignacio Pena & Santiago Forte, 2006. "CREDIT SPREADS: THEORY AND EVIDENCE ABOUT THE INFORMATION CONTENT OF STOCKS, BONDS AND CDSs," Business Economics Working Papers wb063310, Universidad Carlos III, Departamento de Economía de la Empresa.
  59. Alessandro Fontana, 2010. "The Persistent Negative Cds-Bond Basis during the 2007/08 Financial Crisis," Working Papers 2010_13, Department of Economics, University of Venice "Ca' Foscari".
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