Credit default swaps: a primer and some recent trends
D Lando - Annual Review of Financial Economics, 2020 - annualreviews.org
The credit default swap (CDS) remains an important class of derivatives contract despite the
declining activity in the single-name corporate market. I provide a quick introduction to the …
declining activity in the single-name corporate market. I provide a quick introduction to the …
The long and short of it: The post-crisis corporate CDS market
N Boyarchenko, AM Costello… - FRB of New York Staff …, 2019 - papers.ssrn.com
We establish key stylized facts about the post-crisis evolution of trading and pricing of credit
default swaps. Using supervisory contract-level data, we document that dealers become net …
default swaps. Using supervisory contract-level data, we document that dealers become net …
[HTML][HTML] The determinants of market-implied recovery rates
P François - Risks, 2019 - mdpi.com
In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral
expectation can be inferred from the prices of defaultable instruments. I extract market …
expectation can be inferred from the prices of defaultable instruments. I extract market …
Credit value adjustment with market-implied recovery
P François, W Jiang - Journal of Financial Services Research, 2019 - Springer
We present a model for CVA calculation in which the recovery rate is inferred from the term
structure of CDS spreads. The negative relation between recovery rates and default …
structure of CDS spreads. The negative relation between recovery rates and default …
[BOOK][B] DIE PORTFOLIO-REVOLUTION: das ende der klassischen portfoliotheorie
J Felsenheimer - 2024 - books.google.com
Die Finanzmärkte stehen spätestens seit dem russischen Angriff auf die Ukraine ganz im
Zeichen inflationärer Tendenzen. Vor allem die Reaktionen der Zentralbanken führen nun …
Zeichen inflationärer Tendenzen. Vor allem die Reaktionen der Zentralbanken führen nun …
[PDF][PDF] Negative basis measurement: Finding the holy scale
G Bernhart, JF Mai - Innovations in Derivatives Markets: Fixed …, 2016 - library.oapen.org
Investing into a bond and at the same time buying CDS protection on the same bond is
known as buying a basis package. Loosely speaking, if the bond pays more than the CDS …
known as buying a basis package. Loosely speaking, if the bond pays more than the CDS …
Pricing-hedging duality for credit default swaps and the negative basis arbitrage
JF Mai - International Journal of Theoretical and Applied …, 2019 - World Scientific
Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to
replicate the risk-free bank account until a credit event by a static portfolio of a bond and …
replicate the risk-free bank account until a credit event by a static portfolio of a bond and …
Credit Risk Transfer with Single-Name Credit Default Swaps
CL Culp, A van der Merwe, BJ Stärkle - The Palgrave Handbook of …, 2017 - Springer
Credit default swaps (CDSs) are the primary type of derivatives contracts with which market
participants can protect themselves against the risk of a default by one or more underlying …
participants can protect themselves against the risk of a default by one or more underlying …
[BOOK][B] Credit Default Swaps: Handelsstrategien, Bewertung und Regulierung
J Felsenheimer, W Klopfer, U Von Altenstadt - 2019 - books.google.com
Das Buch vermittelt erst ein grundlegendes Verständnis für Entwicklung, Funktionsweise
und regulatorisches Umfeld von Credit Default Swaps (CDS). Anschließend werden die …
und regulatorisches Umfeld von Credit Default Swaps (CDS). Anschließend werden die …
Single-Name CDSs
CL Culp, A van der Merwe, BJ Stärkle, CL Culp… - Credit Default Swaps …, 2018 - Springer
Single-name credit default swaps (“CDSs”) are financial instruments that facilitate the
transfer of credit risk on a defined universe of debt securities issued by an underlying …
transfer of credit risk on a defined universe of debt securities issued by an underlying …