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Master thesis 15 hp autumn term 2008 Supervisor: Bengt Kjellén Contact authors: [email protected], [email protected] Examining the Determinants of Credit…
WP/04/27 Equity Prices, Credit Default Swaps, and Bond Spreads in Emerging Markets Jorge A. Chan-Lau and Yoon Sook Kim © 2004 International Monetary Fund WP/04/27 IMF Working…
45 Decomposing Government Yield Spreads into Credit and Liquidity Components Nicolaj Hamann Christensen and Jacob Wellendorph Ejsing, Financial Markets INTRODUCTION AND SUMMARY…
Transmission of CDS spreads among major financial institutions during the global financial crisis: Liquidity squeeze, AIG’s bailout and monoline crisis∗ Sanae Ohno Abstract…
Explaining Credit Default Swap Spreads with Equity Volatility and Jump Risks of Individual Firms∗ Benjamin Yibin Zhang† Hao Zhou‡ Haibin Zhu§ First Draft: December…
Credit Default Swap Spreads and Systemic Financial Risk∗ Stefano Giglio Harvard University JOB MARKET PAPER January 2011 Abstract This paper presents a novel method to…
133 Marking to Market Liquidity and Financial Stability Guillaume Plantin Haresh Sapra and Hyun Song Shin Guillaume Plantin: Carnegie Mellon University E-mail: gplantin@andrewcmuedu…
CDS Spreads as Default Risk Indicators Robert J. Grossman, Group Managing Director Martin Hansen, Senior Director February 2011 Why Study CDS Spreads? Property-Sensitive…
Riskfree&spread.pptxAswath Damodaran! 2! Aswath Damodaran! 3! Aswath Damodaran! 4! Aswath Damodaran! 7! Aswath Damodaran! 8! Equity Market Volatility Aswath Damodaran!
Jumps and Volatilities in the Energy Market Jose Da Fonseca Abstract This paper studies the relationship between credit default swap spreads (CDS) for the Energy sector and
Credit Default Swap Spreads as Viable Substitutes for Credit RatingsCREDIT DEFAULT SWAP SPREADS AS VIABLE SUBSTITUTES FOR CREDIT RATINGS MARK J. FLANNERY,† JOEL F.
spreads for PIIGS - A macroeconomic approach ABSTRACT This study examines the effects of changes in macroeconomic variables on sovereign CDS spreads for the countries within
Anchoring Credit Default Swap Spreads to Firm Fundamentals Jennie Bai and Liuren Wu NY Fed Baruch College October 11 2011 Baruch Brown Bag Liuren Wu Baruch WCDS 10112011…
Anchoring Credit Default Swap Spreads to Firm Fundamentals∗ Jennie Bai Federal Reserve Bank of New York Liuren Wu Zicklin School of Business, Baruch College First draft:…
1 Rollover Risk and Corporate Bond Spreads PATRICIO VALENZUELA∗ This version: May 26 2010 ABSTRACT This paper examines whether rollover risk is priced on corporate bond…
Mind the Gap: Disentangling Credit and Liquidity in Risk Spreads Krista Schwarz* The Wharton School University of Pennsylvania October 27, 2017 Abstract Wide and volatile…
Attakrit Asvanunt Mark Broadie Suresh Sundaresan ∗ October 16, 2007 Abstract In this paper, we develop a structural model that captures the interaction between the
Liquidity in Credit Default Swap Markets Armen Arakelyan JOB MARKET PAPER and Pedro Serranoa January 10, 2012 Abstract We explore the relationship between Credit Default…
DEFAULT RISK CREDIT MARKET LIQUIDITY AND CORPORATE EVENTS by Thomas D Shohfi BA in Computer Science and Mathematics New York University 2001 MBA University of North Carolina…
U:/Credit/paper/Stefan/Spreads/style.dviDefault Swaps - an empirical investigation Stefan Truck, Matthias Laub and Svetlozar T. Rachev September 20, 2004 Abstract We investigate