Time-Varying Contributions by the Corporate Bond and CDS Markets to Credit Risk Price Discovery
Language: en
Pages: 48
Authors: Niko Dötz
Categories:
Type: BOOK - Published: 2016 - Publisher:

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This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (
Price Discovery Dynamics of Corporate Credit Default Swaps and Bonds
Language: en
Pages: 42
Authors: Josephine Molleyres
Categories:
Type: BOOK - Published: 2018 - Publisher:

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This paper empirically analyzes in a time-varying context if the U.S. corporate Credit Default Swaps (CDS) and bond markets of 81 reference entities reflect the
Credit Risk Discovery in the Stock and CDS Markets
Language: en
Pages: 40
Authors: Santiago Forte
Categories:
Type: BOOK - Published: 2009 - Publisher:

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This paper analyzes the dynamic relationship between CDS spreads and stock market implied credit spreads (ICS) for a large international set of companies during
Credit Default Swaps
Language: en
Pages: 150
Authors: Marti Subrahmanyam
Categories: Business & Economics
Type: BOOK - Published: 2014-12-19 - Publisher: Now Publishers

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Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in imp
Credit Risk
Language: en
Pages: 600
Authors: Niklas Wagner
Categories: Business & Economics
Type: BOOK - Published: 2008-05-28 - Publisher: CRC Press

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Featuring contributions from leading international academics and practitioners, Credit Risk: Models, Derivatives, and Management illustrates how a risk manageme