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Google Keyword Rankings for : relationship between cds and equity prices
1
What Moves the Correlation between the Equity and Credit ...
https://www.cfainstitute.org/en/research/cfa-digest/2016/01/what-moves-the-correlation-between-the-equity-and-credit-default-swap-markets-digest-summary
The authors quantify the correlation between equity returns and changes in CDS spreads at the firm level. Their findings build on prior research that has been ...
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https://www.cfainstitute.org/en/research/cfa-digest/2016/01/what-moves-the-correlation-between-the-equity-and-credit-default-swap-markets-digest-summary
The authors quantify the correlation between equity returns and changes in CDS spreads at the firm level. Their findings build on prior research that has been ...
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2
Explaining co-movements between equity and ... - Springer Link
https://link.springer.com/article/10.1007/s11156-016-0609-6
In normal times, equity and CDSs are liquid markets. In particular, the CDS market is much more liquid than the underlying corporate bond market ...
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https://link.springer.com/article/10.1007/s11156-016-0609-6
In normal times, equity and CDSs are liquid markets. In particular, the CDS market is much more liquid than the underlying corporate bond market ...
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3
Explaining Credit Default Swap Spreads with Equity ... - FDIC
https://www.fdic.gov/analysis/cfr/2005/apr/hzhou-bzhang-hzhu.pdf
Abstract. This paper explores the effects of firm-level volatility and jump risks on credit spreads in the credit default swap (CDS) market.
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https://www.fdic.gov/analysis/cfr/2005/apr/hzhou-bzhang-hzhu.pdf
Abstract. This paper explores the effects of firm-level volatility and jump risks on credit spreads in the credit default swap (CDS) market.
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4
Simple Robust Linkages Between CDS and Equity Options
https://w4.stern.nyu.edu/finance/docs/pdfs/Seminars/081m-carr%20wu.pdf
The theory links the CDS spread to the market prices of vertical spreads of Amer- ican put options which are sufficiently out-of-the-money. The linkage is ...
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https://w4.stern.nyu.edu/finance/docs/pdfs/Seminars/081m-carr%20wu.pdf
The theory links the CDS spread to the market prices of vertical spreads of Amer- ican put options which are sufficiently out-of-the-money. The linkage is ...
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5
No 181 - Explaining Credit Default Swap Spreads with Equity ...
https://www.bis.org/publ/work181.pdf
relationships between equity returns and credit spreads. JEL Classification Numbers: G12, G13, C14. ... First, CDS spread is a relatively pure pricing of.
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https://www.bis.org/publ/work181.pdf
relationships between equity returns and credit spreads. JEL Classification Numbers: G12, G13, C14. ... First, CDS spread is a relatively pure pricing of.
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6
CDS and Equity Market Reactions to Stock Issuances in the ...
https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr697.pdf
Less explored is the relation between market prices of various credit related securities for the same firm. For example, the link between the relatively new, ...
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https://www.newyorkfed.org/medialibrary/media/research/staff_reports/sr697.pdf
Less explored is the relation between market prices of various credit related securities for the same firm. For example, the link between the relatively new, ...
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7
[PDF] Relation between Credit Default Swap Spreads and ...
https://www.researchgate.net/publication/315116802_Relation_between_Credit_Default_Swap_Spreads_and_Stock_Prices_A_Non-linear_Perspective
The existence of a long-run relation between CDS and stock prices of the European investment-grade companies is evidence for a possible ...
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https://www.researchgate.net/publication/315116802_Relation_between_Credit_Default_Swap_Spreads_and_Stock_Prices_A_Non-linear_Perspective
The existence of a long-run relation between CDS and stock prices of the European investment-grade companies is evidence for a possible ...
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8
Sovereign Credit Default Swap and Stock Markets in Central ...
https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516794/
We could notice a negative correlation between CDS premium and equity prices, meaning that if credit risk increased, equity prices declined. As ...
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https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7516794/
We could notice a negative correlation between CDS premium and equity prices, meaning that if credit risk increased, equity prices declined. As ...
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9
The relationship between credit default swap ... - Risk.net
https://www.risk.net/journal-of-risk/2376602/the-relationship-between-credit-default-swap-spreads-and-equity-prices
This paper establishes a link between returns on CDSs and corresponding equity prices that allows CDS proxy series to be generated that ...
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https://www.risk.net/journal-of-risk/2376602/the-relationship-between-credit-default-swap-spreads-and-equity-prices
This paper establishes a link between returns on CDSs and corresponding equity prices that allows CDS proxy series to be generated that ...
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10
Explaining Credit Default Swap Spreads with Equity Volatility ...
https://www.ecb.europa.eu/events/pdf/conferences/jcbrconf4/Zhang.pdf
The idea of emphasizing the link between equity volatility and jump risks on ... First, CDS spread is a relatively pure pricing of default risk of the ...
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https://www.ecb.europa.eu/events/pdf/conferences/jcbrconf4/Zhang.pdf
The idea of emphasizing the link between equity volatility and jump risks on ... First, CDS spread is a relatively pure pricing of default risk of the ...
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11
Equity Prices, Credit Default Swaps, and Bond Spreads in ...
https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Equity-Prices-Credit-Default-Swaps-and-Bond-Spreads-in-Emerging-Markets-17179
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for ...
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https://www.imf.org/en/Publications/WP/Issues/2016/12/30/Equity-Prices-Credit-Default-Swaps-and-Bond-Spreads-in-Emerging-Markets-17179
This paper examines equilibrium price relationships and price discovery between credit defaul swap (CDS), bond, and equity markets for ...
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12
The Correlation of a Firm's Credit Spread with its Stock Price
https://www.readcube.com/articles/10.2139%2Fssrn.966062
CDS premia. ... Merton model provides a good prediction of the sensitivity of corporate bond returns to stock returns. ... revelation in the CDS market, providing ...
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https://www.readcube.com/articles/10.2139%2Fssrn.966062
CDS premia. ... Merton model provides a good prediction of the sensitivity of corporate bond returns to stock returns. ... revelation in the CDS market, providing ...
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13
Liquidity and Credit Default Swap Spreads - Bank of Canada
https://www.bankofcanada.ca/wp-content/uploads/2010/09/tang.pdf
finding a link between CDS spreads and bid-ask spreads among these contracts. ... effect of supply/demand imbalance on equity option prices.
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https://www.bankofcanada.ca/wp-content/uploads/2010/09/tang.pdf
finding a link between CDS spreads and bid-ask spreads among these contracts. ... effect of supply/demand imbalance on equity option prices.
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14
Credit Default Swaps and Equity Prices: The Itraxx CDS Index ...
https://portal.research.lu.se/files/5427205/2061452
To our knowledge this is the first paper studying this relationship. Knowledge about the link between stock prices, stock return volatilities and CDS spreads is ...
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https://portal.research.lu.se/files/5427205/2061452
To our knowledge this is the first paper studying this relationship. Knowledge about the link between stock prices, stock return volatilities and CDS spreads is ...
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15
The Relationship between Credit Default Swap Spreads and ...
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2791412
In so doing, the multifactor model developed shows a consistent pricing of credit risk in both the CDS market and the equity market. The model ...
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https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2791412
In so doing, the multifactor model developed shows a consistent pricing of credit risk in both the CDS market and the equity market. The model ...
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16
Is default risk priced equally fast in the credit default swap and ...
https://www.sciencedirect.com/science/article/pii/S1042443117304560
In frictionless markets, the prices of CDS and stock prices should be closely related because they depend on the distribution of the market value of the firm's ...
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https://www.sciencedirect.com/science/article/pii/S1042443117304560
In frictionless markets, the prices of CDS and stock prices should be closely related because they depend on the distribution of the market value of the firm's ...
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17
the Relationship between sovereign CDS and Stock Indexes.
https://www.efmaefm.org/0efmameetings/efma%20annual%20meetings/2011-Braga/papers/0484.pdf
The link between CDS spreads, bond spreads and equity markets has become recently a ... stock price volatility is significantly correlated with CDS spreads.
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https://www.efmaefm.org/0efmameetings/efma%20annual%20meetings/2011-Braga/papers/0484.pdf
The link between CDS spreads, bond spreads and equity markets has become recently a ... stock price volatility is significantly correlated with CDS spreads.
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18
Related Securities and Equity Market Quality: The Case of CDS
https://www.jstor.org/stable/43862261
ine the impact of CDS contracts on both liquidity and price efficiency in equity ... Interpreting the negative relationship between CDS markets and equity.
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https://www.jstor.org/stable/43862261
ine the impact of CDS contracts on both liquidity and price efficiency in equity ... Interpreting the negative relationship between CDS markets and equity.
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19
The relationship between CDS and bond spreads
https://www.treasurers.org/ACTmedia/May05TTBerman50-52.pdf
relative value between bond and CDS markets, ... Similarly, the relationship of step up/down ... of basis, as it is in equity markets where the.
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https://www.treasurers.org/ACTmedia/May05TTBerman50-52.pdf
relative value between bond and CDS markets, ... Similarly, the relationship of step up/down ... of basis, as it is in equity markets where the.
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20
Is There a Connection between Sovereign CDS Spreads and ...
https://www.mdpi.com/2227-7390/8/10/1667
The main lines of research that analyse the relation between the stock and the credit market have used equity prices and bond spreads [1,2]; however, some ...
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https://www.mdpi.com/2227-7390/8/10/1667
The main lines of research that analyse the relation between the stock and the credit market have used equity prices and bond spreads [1,2]; however, some ...
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21
Credit Default Swaps - Federal Reserve Board
https://www.federalreserve.gov/econres/feds/files/2022023pap.pdf
focuses on the relationship between conditions in the cash and CDS markets as well as an ... efficiency in the pricing and distribution of credit risk.
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https://www.federalreserve.gov/econres/feds/files/2022023pap.pdf
focuses on the relationship between conditions in the cash and CDS markets as well as an ... efficiency in the pricing and distribution of credit risk.
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22
CDS Pricing Data - S&P Global
https://www.spglobal.com/marketintelligence/en/mi/products/pricing-data-cds.html
His areas of expertise include debt and equity origination, credit derivatives, equity derivatives, stock loan/repo and change management. Andrew joined S&P ...
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https://www.spglobal.com/marketintelligence/en/mi/products/pricing-data-cds.html
His areas of expertise include debt and equity origination, credit derivatives, equity derivatives, stock loan/repo and change management. Andrew joined S&P ...
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23
ARE ALL CREDIT DEFAULT SWAP DATABASES EQUAL?
https://arxiv.org/pdf/2202.02273
in the results of the price discovery analysis between stock and CDS returns. ... before a causality relationship between stock and CDS returns could be ...
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https://arxiv.org/pdf/2202.02273
in the results of the price discovery analysis between stock and CDS returns. ... before a causality relationship between stock and CDS returns could be ...
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24
What Is a Credit Default Swap (CDS), and How Does It Work?
https://www.investopedia.com/terms/c/creditdefaultswap.asp
For example, suppose a company sells a bond with a $100 face value and a 10-year maturity to an investor. The company might agree to pay back ...
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https://www.investopedia.com/terms/c/creditdefaultswap.asp
For example, suppose a company sells a bond with a $100 face value and a 10-year maturity to an investor. The company might agree to pay back ...
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25
Proxy Valuations of Russian Firms Using CDS-Implied EDFs
https://www.moodysanalytics.com/articles/pa/2022/clearing_the_fog_proxy_valuations_of_russian_firms_using_cds_implied_edfs
Given this implied relationship, changes in equity prices and CDS spreads tend to correlate strongly. As the CDS market grew, mispricings in the market ...
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https://www.moodysanalytics.com/articles/pa/2022/clearing_the_fog_proxy_valuations_of_russian_firms_using_cds_implied_edfs
Given this implied relationship, changes in equity prices and CDS spreads tend to correlate strongly. As the CDS market grew, mispricings in the market ...
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26
the relationship between credit default swap
https://www-2.rotman.utoronto.ca/~hull/DownloadablePublications/HPWPaperonCDSSpreads.pdf
price. The second attraction of CDS spreads is that no adjustment is required: they are already credit spreads. Bond yields require an assumption about the ...
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https://www-2.rotman.utoronto.ca/~hull/DownloadablePublications/HPWPaperonCDSSpreads.pdf
price. The second attraction of CDS spreads is that no adjustment is required: they are already credit spreads. Bond yields require an assumption about the ...
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27
ANALYSIS OF RELATIONS BETWEEN CDS, STOCK ...
https://dergipark.org.tr/en/download/article-file/2300341
Market risk arises from movements and changes in financial prices and rates. The components of market risk are exchange rate, interest rate, ...
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https://dergipark.org.tr/en/download/article-file/2300341
Market risk arises from movements and changes in financial prices and rates. The components of market risk are exchange rate, interest rate, ...
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28
A Study on the Relationship between CDS ... - EconStor
https://www.econstor.eu/bitstream/10419/250262/1/ibr-v50i2p275-301.pdf
The relationship between the Fragile Five countries' CDS premiums and the stock market index prices has been examined by various.
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https://www.econstor.eu/bitstream/10419/250262/1/ibr-v50i2p275-301.pdf
The relationship between the Fragile Five countries' CDS premiums and the stock market index prices has been examined by various.
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29
TRADING CO-MOVEMENTS INFORMATION BETWEEN ...
https://run.unl.pt/bitstream/10362/133494/1/2021_s1_40528_pierre-nicodeau.pdf
relationship has been broken, allowing us to implement an investment strategy based on statistic signals. ... Equity Prices vs CDS Spreads .
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https://run.unl.pt/bitstream/10362/133494/1/2021_s1_40528_pierre-nicodeau.pdf
relationship has been broken, allowing us to implement an investment strategy based on statistic signals. ... Equity Prices vs CDS Spreads .
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30
Relation between Credit Default Swap Spreads and Stock ...
https://ideas.repec.org/a/spr/jecfin/v43y2019i1d10.1007_s12197-017-9423-9.html
Using alternative cointegration tests, we find that CDS and stock prices are cointegrated. More specifically, there are 47 companies in our sample for which CDS ...
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https://ideas.repec.org/a/spr/jecfin/v43y2019i1d10.1007_s12197-017-9423-9.html
Using alternative cointegration tests, we find that CDS and stock prices are cointegrated. More specifically, there are 47 companies in our sample for which CDS ...
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31
Understanding Credit Default Swaps - PIMCO
https://www.pimco.co.uk/en-gb/resources/education/understanding-credit-default-swaps
Originally formed to provide banks with the means to transfer credit exposure, CDS has grown as an active portfolio management tool. The performance of CDS, ...
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https://www.pimco.co.uk/en-gb/resources/education/understanding-credit-default-swaps
Originally formed to provide banks with the means to transfer credit exposure, CDS has grown as an active portfolio management tool. The performance of CDS, ...
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32
The Credit Default Swap Market - Iosco.org
https://www.iosco.org/library/pubdocs/pdf/IOSCOPD385.pdf
the functioning of the CDS market and the role of CDS in price formation of ... buyer the difference between the notional contract value and the market ...
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https://www.iosco.org/library/pubdocs/pdf/IOSCOPD385.pdf
the functioning of the CDS market and the role of CDS in price formation of ... buyer the difference between the notional contract value and the market ...
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33
Are Banks Too Big To Fail Or Too Big To Save ? International ...
https://elibrary.worldbank.org/doi/10.1596/1813-9450-5360
Overall, bank stock prices reflect a negative capitalization of government debt and they respond negatively to deficits. The authors present evidence that ...
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https://elibrary.worldbank.org/doi/10.1596/1813-9450-5360
Overall, bank stock prices reflect a negative capitalization of government debt and they respond negatively to deficits. The authors present evidence that ...
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34
CDS Momentum: Slow-Moving Credit Ratings and Cross ...
https://academic.oup.com/raps/article/11/2/352/6125368
Second, we find significant cross-market momentum spillover from the CDS market to both bond and stock markets. A long-short strategy based ...
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https://academic.oup.com/raps/article/11/2/352/6125368
Second, we find significant cross-market momentum spillover from the CDS market to both bond and stock markets. A long-short strategy based ...
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35
RELATIONSHIP BETWEEN SOVEREIGN CREDIT DEFAULT ...
https://www.semanticscholar.org/paper/RELATIONSHIP-BETWEEN-SOVEREIGN-CREDIT-DEFAULT-SWAP-Basazinew-Vashkevich/5094896e1ffecc7744732c43e439f740a35784ea
When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock ...
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https://www.semanticscholar.org/paper/RELATIONSHIP-BETWEEN-SOVEREIGN-CREDIT-DEFAULT-SWAP-Basazinew-Vashkevich/5094896e1ffecc7744732c43e439f740a35784ea
When adjusted to sovereign entities, the structural credit risk model assumes a negative (positive) relationship between sovereign CDS spreads and stock ...
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36
CDS Contracts versus Put Options: A robust relationship?
https://wwwfr.uni.lu/content/download/81159/1003851/file/CDS%20Contracts%20versus%20Put%20Options.pdf
European banks, it exploits a theoretical link between the equity ... in DOOM put options and CDS contracts can be used in the pricing of credit risk. More.
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https://wwwfr.uni.lu/content/download/81159/1003851/file/CDS%20Contracts%20versus%20Put%20Options.pdf
European banks, it exploits a theoretical link between the equity ... in DOOM put options and CDS contracts can be used in the pricing of credit risk. More.
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37
CDS Fading as a Measure of Value in Emerging Markets - MSCI
https://www.msci.com/www/blog-posts/cds-fading-as-a-measure-of/02558951186
Several previous studies of emerging-market (EM) sovereign debt showed that credit-default swaps (CDS) tended to be a better measure of value ...
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https://www.msci.com/www/blog-posts/cds-fading-as-a-measure-of/02558951186
Several previous studies of emerging-market (EM) sovereign debt showed that credit-default swaps (CDS) tended to be a better measure of value ...
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38
Credit Default Swap –Pricing Theory, Real Data Analysis and ...
https://data.bloomberglp.com/bat/sites/3/2016/10/WhitePaper_Wen.pdf
extracted from the Bloomberg terminal to illustrate the CDS pricing model of Hull and White ... The CDS-Bond basis is the difference between CDS spread.
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https://data.bloomberglp.com/bat/sites/3/2016/10/WhitePaper_Wen.pdf
extracted from the Bloomberg terminal to illustrate the CDS pricing model of Hull and White ... The CDS-Bond basis is the difference between CDS spread.
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39
An empirical analysis of the dynamic relationship between ...
https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=fa3361e5cf5605369759d3f30d4cbcb080db2720
prices, and suggest that the integration between equity and credit markets was less than perfect, ... relationship between CDS prices and credit spreads.
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https://citeseerx.ist.psu.edu/document?repid=rep1&type=pdf&doi=fa3361e5cf5605369759d3f30d4cbcb080db2720
prices, and suggest that the integration between equity and credit markets was less than perfect, ... relationship between CDS prices and credit spreads.
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40
and Recovery Implicit in the Term Structure of Sovereign CDS ...
http://www.mit.edu/~junpan/sovrev.pdf
The basic pricing relation for sovereign CDS contracts is identical to that for corporate CDS contracts. Let M denote the maturity (in years) of the ...
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http://www.mit.edu/~junpan/sovrev.pdf
The basic pricing relation for sovereign CDS contracts is identical to that for corporate CDS contracts. Let M denote the maturity (in years) of the ...
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41
Are the U.S. Stock Market and Credit Default Swap Market ...
https://jai.pm-research.com/content/11/1/43
... relations between the U.S. stock market and the credit default swap (CDS) ... stock market leads the investment-grade CDS index in the pricing process.
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https://jai.pm-research.com/content/11/1/43
... relations between the U.S. stock market and the credit default swap (CDS) ... stock market leads the investment-grade CDS index in the pricing process.
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42
Credit Default Swaps
https://www.princeton.edu/~markus/teaching/Eco467/10Lecture/CDS%20Presentation%20with%20References.pdf
Residential Mortgage Backed Securities (RMBS); but, size of markets for CDS on CDOs and ... The spread is set initially so that the value of the CDS is 0.
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https://www.princeton.edu/~markus/teaching/Eco467/10Lecture/CDS%20Presentation%20with%20References.pdf
Residential Mortgage Backed Securities (RMBS); but, size of markets for CDS on CDOs and ... The spread is set initially so that the value of the CDS is 0.
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43
Credit Default Swaps: indices, curves and their relationship to ...
https://bsic.it/credit-default-swaps-indices-curves-and-their-relationship-to-volatility/
The protection seller profits from the periodic payment made by the buyer, given a credit event doesn't occur. The market price of the CDS, the ...
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https://bsic.it/credit-default-swaps-indices-curves-and-their-relationship-to-volatility/
The protection seller profits from the periodic payment made by the buyer, given a credit event doesn't occur. The market price of the CDS, the ...
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44
What Determines CDS Prices? Evidence from the Estimation ...
https://www.dbj.jp/ricf/pdf/research/DBJ_DP_1210.pdf
of prices in other financial markets such as stock, government and corporate ... protection affects an index of CDS premiums in the Japanese credit market.
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https://www.dbj.jp/ricf/pdf/research/DBJ_DP_1210.pdf
of prices in other financial markets such as stock, government and corporate ... protection affects an index of CDS premiums in the Japanese credit market.
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45
Credit Risk and the Transmission of Interest Rate Shocks
https://www.financialresearch.gov/working-papers/2020/12/03/credit-risk-and-the-transmission-of-interest-rate-shocks/
Using daily credit default swap (CDS) data going back to the early 2000s, we find a positive and significant relation between corporate credit ...
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https://www.financialresearch.gov/working-papers/2020/12/03/credit-risk-and-the-transmission-of-interest-rate-shocks/
Using daily credit default swap (CDS) data going back to the early 2000s, we find a positive and significant relation between corporate credit ...
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46
Credit Default Swaps: A Survey - now publishers
https://www.nowpublishers.com/article/DownloadSummary/FIN-040
bond spreads and a relationship between CDS and equity markets, investors saw significant price discrepancies during the financial cri-.
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https://www.nowpublishers.com/article/DownloadSummary/FIN-040
bond spreads and a relationship between CDS and equity markets, investors saw significant price discrepancies during the financial cri-.
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47
What Explains Credit Default Swaps Bid-Ask Spread?
https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1049&context=etd_coll
Table 5 Long-Run Relationship between CDS Price and CDS Bid-ask Spread ............. 44 ... Bid-ask spread of equities are commonly used as liquidity proxy.
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https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1049&context=etd_coll
Table 5 Long-Run Relationship between CDS Price and CDS Bid-ask Spread ............. 44 ... Bid-ask spread of equities are commonly used as liquidity proxy.
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48
A Study on the Relationship between CDS ... - ProQuest
https://search.proquest.com/openview/3a3b7ebad0f045103f345114ac63c081/1?pq-origsite=gscholar&cbl=1796365
These contract premiums are called CDS premiums. The relationship between the Fragile Five countries' CDS premiums and the stock market index prices has ...
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https://search.proquest.com/openview/3a3b7ebad0f045103f345114ac63c081/1?pq-origsite=gscholar&cbl=1796365
These contract premiums are called CDS premiums. The relationship between the Fragile Five countries' CDS premiums and the stock market index prices has ...
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49
Harnessing Signals from the Credit Default Swap Market - ICE
https://www.theice.com/insights/data-in-action/harnessing-signals-from-the-credit-default-swap-market
As each CDS is tied to an underlying credit or issue, it is commonly traded and referenced as a type of credit derivative. CDS pricing is driven ...
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https://www.theice.com/insights/data-in-action/harnessing-signals-from-the-credit-default-swap-market
As each CDS is tied to an underlying credit or issue, it is commonly traded and referenced as a type of credit derivative. CDS pricing is driven ...
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50
Explaining co-movements between equity and ... - CentAUR
https://centaur.reading.ac.uk/67479/9/art%253A10.1007%252Fs11156-016-0609-6.pdf
The debt-to- equity hedge ratio measures the sensitivity of debt (or credit) claims to changes in the value of equity. When this sensitivity increases, the ...
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https://centaur.reading.ac.uk/67479/9/art%253A10.1007%252Fs11156-016-0609-6.pdf
The debt-to- equity hedge ratio measures the sensitivity of debt (or credit) claims to changes in the value of equity. When this sensitivity increases, the ...
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51
Are Credit Default Swaps a Sideshow? Evidence That ...
https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/are-credit-default-swaps-a-sideshow-evidence-that-information-flows-from-equity-to-cds-markets/F7CCD2FFB20AAEACE1E093D12EEF7A31
Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are ...
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https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/are-credit-default-swaps-a-sideshow-evidence-that-information-flows-from-equity-to-cds-markets/F7CCD2FFB20AAEACE1E093D12EEF7A31
Our results indicate that informed traders are primarily active in the equity market rather than the credit default swap (CDS) market. These findings are ...
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52
Mutual Fund Holdings of Credit Default Swaps: Liquidity, Yield ...
https://www0.gsb.columbia.edu/mygsb/faculty/research/pubfiles/19214/3.fund_cds_wp.pdf
under-weighs the effects of CDS because the market value of the CDS contracts ... fund complexes managed 48 percent of total assets of equity funds and 53 ...
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https://www0.gsb.columbia.edu/mygsb/faculty/research/pubfiles/19214/3.fund_cds_wp.pdf
under-weighs the effects of CDS because the market value of the CDS contracts ... fund complexes managed 48 percent of total assets of equity funds and 53 ...
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53
Explaining co-movements between equity and CDS bid
https://d-nb.info/1120654505/34
equity hedge ratio measures the sensitivity of debt (or credit) claims to ... leads in CDS price discovery, when compared to other five major CDS data ...
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https://d-nb.info/1120654505/34
equity hedge ratio measures the sensitivity of debt (or credit) claims to ... leads in CDS price discovery, when compared to other five major CDS data ...
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54
Credit default swaps - functions, importance and information ...
https://www.bundesbank.de/resource/blob/706458/0f64bf503b239d202379845b93f624cb/mL/2004-12-credit-default-swaps-data.pdf
show that CDS prices contain informa- ... CDS is based on a credit relationship with ... passed that of the markets for equity deriva-.
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https://www.bundesbank.de/resource/blob/706458/0f64bf503b239d202379845b93f624cb/mL/2004-12-credit-default-swaps-data.pdf
show that CDS prices contain informa- ... CDS is based on a credit relationship with ... passed that of the markets for equity deriva-.
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55
Are all Credit Default Swap Databases Equal? - CNMV
https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT44_weben.pdf
... in studies of price discovery of the CDS market in relation to other markets such as bonds or futures, ... between CRSP and COMPUSTAT stock price data.
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https://www.cnmv.es/DocPortal/Publicaciones/MONOGRAFIAS/DT44_weben.pdf
... in studies of price discovery of the CDS market in relation to other markets such as bonds or futures, ... between CRSP and COMPUSTAT stock price data.
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56
Bond Prices, Rates, and Yields - Fidelity Investments
https://www.fidelity.com/learning-center/investment-products/fixed-income-bonds/bond-prices-rates-yields
Similar to stocks, bond and CD prices can be higher or lower than the face value of the security because of the current economic environment and the ...
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https://www.fidelity.com/learning-center/investment-products/fixed-income-bonds/bond-prices-rates-yields
Similar to stocks, bond and CD prices can be higher or lower than the face value of the security because of the current economic environment and the ...
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57
CDS Market Formulas and Models
https://www.ma.imperial.ac.uk/~dbrigo/cdsmktfor.pdf
Abstract. In this work we analyze market payoffs of Credit Default Swaps (CDS) and we derive rigorous standard market formulas for pricing options on CDS.
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https://www.ma.imperial.ac.uk/~dbrigo/cdsmktfor.pdf
Abstract. In this work we analyze market payoffs of Credit Default Swaps (CDS) and we derive rigorous standard market formulas for pricing options on CDS.
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58
The Australian Credit Default Swap Market | Bulletin
https://www.rba.gov.au/publications/bulletin/2011/dec/6.html
Similarities between CDS and bonds allow pricing in the two markets to be compared. However, the CDS market has a greater tendency at times to be affected ...
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https://www.rba.gov.au/publications/bulletin/2011/dec/6.html
Similarities between CDS and bonds allow pricing in the two markets to be compared. However, the CDS market has a greater tendency at times to be affected ...
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59
RELATIONSHIP BETWEEN SOVEREIGN ... - DiVA Portal
http://www.diva-portal.org/smash/get/diva2:651679/FULLTEXT01.pdf
(positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information ...
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http://www.diva-portal.org/smash/get/diva2:651679/FULLTEXT01.pdf
(positive) relationship between sovereign CDS spreads and stock prices (volatilities). In theory both markets are supposed to incorporate new information ...
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60
Credit default swap - Wikipedia
https://en.wikipedia.org/wiki/Credit_default_swap
A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the ...
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https://en.wikipedia.org/wiki/Credit_default_swap
A credit default swap (CDS) is a financial swap agreement that the seller of the CDS will compensate the buyer in the event of a debt default (by the ...
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61
Predicting the direction of CDS rate changes - Refinitiv
https://www.refinitiv.com/perspectives/future-of-investing-trading/predicting-the-direction-of-cds-rate-changes/
There is a relationship between probability of default changes and credit default swap rate changes. · A larger probability of default causes a ...
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https://www.refinitiv.com/perspectives/future-of-investing-trading/predicting-the-direction-of-cds-rate-changes/
There is a relationship between probability of default changes and credit default swap rate changes. · A larger probability of default causes a ...
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62
Credit Default Swap (CDS) - Corporate Finance Institute
https://corporatefinanceinstitute.com/resources/derivatives/credit-default-swap-cds/
It relies on the fact that a firm's stock price and credit default swaps spread should portray a negative correlation. If the company's outlook ...
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https://corporatefinanceinstitute.com/resources/derivatives/credit-default-swap-cds/
It relies on the fact that a firm's stock price and credit default swaps spread should portray a negative correlation. If the company's outlook ...
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63
Credit Default Swaps (CDS) | Japan Exchange Group
https://www.jpx.co.jp/english/markets/derivatives-indices/cds-indices/index.html
CDS and credit index contracts primarily trade on a spread basis, which represents the premium the protection buyer pays the protection seller. It is generally ...
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https://www.jpx.co.jp/english/markets/derivatives-indices/cds-indices/index.html
CDS and credit index contracts primarily trade on a spread basis, which represents the premium the protection buyer pays the protection seller. It is generally ...
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64
The role of credit default swaps in determining corporate ...
https://onlinelibrary.wiley.com/doi/10.1111/fima.12381?af=R
Finally, we show that CDS-referenced firms tend to prefer stock repurchases that have a financial flexibility advantage over dividends to ...
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https://onlinelibrary.wiley.com/doi/10.1111/fima.12381?af=R
Finally, we show that CDS-referenced firms tend to prefer stock repurchases that have a financial flexibility advantage over dividends to ...
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65
Withholding Bad News in the Face of Credit Default Swap ...
https://jfqa.org/2022/08/29/withholding-bad-news-in-the-face-of-credit-default-swap-trading-evidence-from-stock-price-crash-risk/
We find that CDS trading on a firm's debt reduces the future stock price crash risk. This effect is stronger in active CDS markets, when the ...
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https://jfqa.org/2022/08/29/withholding-bad-news-in-the-face-of-credit-default-swap-trading-evidence-from-stock-price-crash-risk/
We find that CDS trading on a firm's debt reduces the future stock price crash risk. This effect is stronger in active CDS markets, when the ...
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66
Did CDS Trading Improve the Market for Corporate Bonds?
https://www.aeaweb.org/conference/2013/retrieve.php?pdfid=146
markets as well, changing their efficiency, quality (pricing error) and ... relationship between changes in bond yields and stock returns, ...
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https://www.aeaweb.org/conference/2013/retrieve.php?pdfid=146
markets as well, changing their efficiency, quality (pricing error) and ... relationship between changes in bond yields and stock returns, ...
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67
Testimony Concerning Credit Default Swaps - SEC.gov
https://www.sec.gov/news/testimony/2008/ts101508ers.htm
In addition, we have seen CDS spreads move in tandem with falling stock prices, a correlation that suggests that activities in the OTC CDS ...
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https://www.sec.gov/news/testimony/2008/ts101508ers.htm
In addition, we have seen CDS spreads move in tandem with falling stock prices, a correlation that suggests that activities in the OTC CDS ...
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68
Manufactured Defaults and the Use of Credit Default Swaps
https://www.kramerlevin.com/images/content/6/0/v2/60071/PUB-Manufactured-Defaults-and-CDS-1219-Final.pdf
On 24 June 2019, Securities and Exchange Commission Chairman Jay ... What Is the Relation Between the CDS Spreads (Prices) and the Lengths.
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https://www.kramerlevin.com/images/content/6/0/v2/60071/PUB-Manufactured-Defaults-and-CDS-1219-Final.pdf
On 24 June 2019, Securities and Exchange Commission Chairman Jay ... What Is the Relation Between the CDS Spreads (Prices) and the Lengths.
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69
Forget CDS: equity-default swaps return - Reuters
https://www.reuters.com/article/idUSL5N2734RX
While minuscule in size compared with the US$8trn CDS market, equity-default swaps have one notable advantage over their more famous credit- ...
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https://www.reuters.com/article/idUSL5N2734RX
While minuscule in size compared with the US$8trn CDS market, equity-default swaps have one notable advantage over their more famous credit- ...
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70
Credit Suisse Turmoil Deepens With Record Stock, CDS Levels
https://www.bloomberg.com/news/articles/2022-10-02/credit-suisse-ceo-seeks-to-calm-as-default-swaps-near-2009-level
The five-year credit default swaps price of about 293 basis points is up from about 55 basis points at the start of the year and at the highest ...
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https://www.bloomberg.com/news/articles/2022-10-02/credit-suisse-ceo-seeks-to-calm-as-default-swaps-near-2009-level
The five-year credit default swaps price of about 293 basis points is up from about 55 basis points at the start of the year and at the highest ...
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71
The relationship between credit default swap spreads and ...
http://repository.essex.ac.uk/11330/
This paper establishes a link between returns on CDSs and corresponding equity prices that allows CDS proxy series to be generated that ...
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http://repository.essex.ac.uk/11330/
This paper establishes a link between returns on CDSs and corresponding equity prices that allows CDS proxy series to be generated that ...
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72
Single-name Credit Default Swaps: A Review of the Empirical ...
https://www.isda.org/a/KSiDE/single-name-cds-literature-review-culp-van-der-merwe-staerkle-isda.pdf
Relations between single-name CDS markets and related debt and equity ... CDS spreads: volatility of the reference entity's equity price;.
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https://www.isda.org/a/KSiDE/single-name-cds-literature-review-culp-van-der-merwe-staerkle-isda.pdf
Relations between single-name CDS markets and related debt and equity ... CDS spreads: volatility of the reference entity's equity price;.
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73
Treatment of Credit Default Swaps & Valuation of Debt ...
https://unstats.un.org/unsd/nationalaccount/aeg/2020/M14_4_5_CDS_Debt_Securities_Pres.pdf
Value of CDS may change over life of the ... Value to the CDS buyer increases. (asset) ... F.8 Valuation of Debt Securities at Market and.
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https://unstats.un.org/unsd/nationalaccount/aeg/2020/M14_4_5_CDS_Debt_Securities_Pres.pdf
Value of CDS may change over life of the ... Value to the CDS buyer increases. (asset) ... F.8 Valuation of Debt Securities at Market and.
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74
The empirical relationship between the spreads of Credit ...
https://www.grin.com/document/149685
After confirming the existence of the basis spread, this paper goes on to analyse the interactions of CDS spread and Bond spread using econometrics methods like ...
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https://www.grin.com/document/149685
After confirming the existence of the basis spread, this paper goes on to analyse the interactions of CDS spread and Bond spread using econometrics methods like ...
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75
The Link between Eurozone Sovereign Debt and CDS Prices
https://mondovisione.com/_assets/files/EDHEC-Risk_Working_Paper_Link_Sovereign_Debt_CDS.pdf
no-arbitrage relationship between CDS and bond yield spreads. ... for them as “held-to-maturity” securities and would not be realising the price changes.
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https://mondovisione.com/_assets/files/EDHEC-Risk_Working_Paper_Link_Sovereign_Debt_CDS.pdf
no-arbitrage relationship between CDS and bond yield spreads. ... for them as “held-to-maturity” securities and would not be realising the price changes.
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76
CAN CREDIT DEFAULT SWAPS PREDICT FINANCIAL ...
https://core.ac.uk/download/pdf/6987263.pdf
From the CDS-bond differential and the relationship between equity prices and bond spreads ... CDS premium and the probability of a crisis in stock markets.
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https://core.ac.uk/download/pdf/6987263.pdf
From the CDS-bond differential and the relationship between equity prices and bond spreads ... CDS premium and the probability of a crisis in stock markets.
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77
1 Do Sovereign CDS and Bond Markets Share the Same ...
https://www.bcb.gov.br/pec/depep/Seminarios/2011_VISemRiscosBCB/Arquivos/2011_VISemRiscosBCB_10h40_SergioMayordomo.pdf
relation between sovereign CDS and bonds markets in developed countries has ... squared of the stock index returns, seems not to be priced differently in ...
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https://www.bcb.gov.br/pec/depep/Seminarios/2011_VISemRiscosBCB/Arquivos/2011_VISemRiscosBCB_10h40_SergioMayordomo.pdf
relation between sovereign CDS and bonds markets in developed countries has ... squared of the stock index returns, seems not to be priced differently in ...
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78
Price Discovery and Cross-Market Informational Flow in High ...
https://acfr.aut.ac.nz/__data/assets/pdf_file/0014/516200/Full-Manuscript.pdf
tion from the equity to the CDS market associated with such activity. ... detect and capture lead-lag relationships between two or more sets ...
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https://acfr.aut.ac.nz/__data/assets/pdf_file/0014/516200/Full-Manuscript.pdf
tion from the equity to the CDS market associated with such activity. ... detect and capture lead-lag relationships between two or more sets ...
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79
Can Credit Default Swaps Predict Financial Crises
https://mpra.ub.uni-muenchen.de/13096/1/MPRA_paper_13096.pdf
and establishes a theoretical basis for relationship between CDS premiums, equity prices and currency trends. Section 3 summarizes the ...
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https://mpra.ub.uni-muenchen.de/13096/1/MPRA_paper_13096.pdf
and establishes a theoretical basis for relationship between CDS premiums, equity prices and currency trends. Section 3 summarizes the ...
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80
How does sovereign bond market integration relate to ...
https://gibsonbrandon.weebly.com/uploads/1/5/1/3/15136218/ceg-bond-20_july_2016_.pdf
Market integration is central to global asset pricing but has so far ... Finally, we examine the relationship between our measure of integration and the CDS.
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https://gibsonbrandon.weebly.com/uploads/1/5/1/3/15136218/ceg-bond-20_july_2016_.pdf
Market integration is central to global asset pricing but has so far ... Finally, we examine the relationship between our measure of integration and the CDS.
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81
Fixed Income Health Check: Rising CDS A Warning Sign
https://seekingalpha.com/article/4496054-fixed-income-health-check-rising-cds-warning-sign
A rising US dollar index and increasing costs of "credit insurance" are hallmarks of risk-off behavior. · US bank credit default swap pricing is ...
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https://seekingalpha.com/article/4496054-fixed-income-health-check-rising-cds-warning-sign
A rising US dollar index and increasing costs of "credit insurance" are hallmarks of risk-off behavior. · US bank credit default swap pricing is ...
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82
Credit Default Swaps networks and systemic risk - Nature
https://www.nature.com/articles/srep06822
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS ...
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https://www.nature.com/articles/srep06822
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS ...
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83
Notice to Members 05-77 | FINRA.org
https://www.finra.org/rules-guidance/notices/05-77
Transactions in TRACE-Eligible Securities That Occur in Connection with ... security that occurs pursuant to, or in connection with an option, a CDS, ...
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https://www.finra.org/rules-guidance/notices/05-77
Transactions in TRACE-Eligible Securities That Occur in Connection with ... security that occurs pursuant to, or in connection with an option, a CDS, ...
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84
CDS Vs. Stock: The Quest For The Optimum Hedge Ratio - Part I
https://www.globalcapital.com/article/28mwsyrhwu5on1l5ll3wg/derivatives/cds-vs-stock-the-quest-for-the-optimum-hedge-ratio-part-i
Playing credit against equities relies on the assumption there is indeed a correlation between both markets and equities may provide an ...
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https://www.globalcapital.com/article/28mwsyrhwu5on1l5ll3wg/derivatives/cds-vs-stock-the-quest-for-the-optimum-hedge-ratio-part-i
Playing credit against equities relies on the assumption there is indeed a correlation between both markets and equities may provide an ...
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85
ICE Launches Credit Default Swap Clearinghouse
https://www.shearman.com/~/media/files/newsinsights/publications/2009/03/ice-launches-credit-default-swap-clearinghouse/files/click-here-to-view-memo-ice-launches-credit-defa__/fileattachment/fia031209icelaunchescreditdefaultswapclearinghouse.pdf
face value, or (ii) cash settlement of the CDS, in which case the protection buyer is ... (“Fed”), the Securities and Exchange Commission.
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https://www.shearman.com/~/media/files/newsinsights/publications/2009/03/ice-launches-credit-default-swap-clearinghouse/files/click-here-to-view-memo-ice-launches-credit-defa__/fileattachment/fia031209icelaunchescreditdefaultswapclearinghouse.pdf
face value, or (ii) cash settlement of the CDS, in which case the protection buyer is ... (“Fed”), the Securities and Exchange Commission.
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86
The behavior of Sovereign Credit Default Swaps (CDS) spread
https://www.aimspress.com/article/doi/10.3934/QFE.2020022?viewType=HTML
CDS are derivative instruments which are used for protection against default risks on debts securities by foreign investors (Hibbert & Pavlova, 2017; The ...
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https://www.aimspress.com/article/doi/10.3934/QFE.2020022?viewType=HTML
CDS are derivative instruments which are used for protection against default risks on debts securities by foreign investors (Hibbert & Pavlova, 2017; The ...
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87
Do CDS Spreads and Inflation Move Together? The ...
http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1210
Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased ...
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http://saeb.feaa.uaic.ro/index.php/saeb/article/view/1210
Credit Default Swap Spread (CDS), which also shows the credit risks, is one of the important proxies that measure the country risk. Increased ...
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88
The determinants of credit default swap rates - YieldCurve.com
http://www.yieldcurve.com/mktresearch/files/naifar_cdsarticle_jun05.pdf
interest rate, slope of the yield curve and volatility level of equities. ... We looks at the relationship between credit default swap rates (CDS) and ...
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http://www.yieldcurve.com/mktresearch/files/naifar_cdsarticle_jun05.pdf
interest rate, slope of the yield curve and volatility level of equities. ... We looks at the relationship between credit default swap rates (CDS) and ...
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89
Credit Suisse CDS hit record high as shares tumble
https://www.ft.com/content/51480b88-9e08-477d-8a31-f973e4b337a1
Swiss bank fails to calm concerns as cost of buying its credit default swaps soars. ... Share price developments do not change this fact.”.
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https://www.ft.com/content/51480b88-9e08-477d-8a31-f973e4b337a1
Swiss bank fails to calm concerns as cost of buying its credit default swaps soars. ... Share price developments do not change this fact.”.
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90
Credit Implied Volatility - AQR Capital Management
https://www.aqr.com/-/media/AQR/Documents/Insights/Working-Papers/Credit-Implied-Volatility.pdf
spread to provides a relative measure of CDS value across “moneyness” ... equity is a call option on the asset value with strike equal to the debt value,.
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https://www.aqr.com/-/media/AQR/Documents/Insights/Working-Papers/Credit-Implied-Volatility.pdf
spread to provides a relative measure of CDS value across “moneyness” ... equity is a call option on the asset value with strike equal to the debt value,.
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91
New Rules for Credit Default Swap Trading: Can We Now ...
https://www.clevelandfed.org/publications/economic-commentary/2014/ec-201411-new-rules-for-credit-default-swap-trading-can-we-now-follow-the-risk
Unlike markets with exchanges, such as the stock market, the CDS market did not provide participants with readily available information on prices or volumes ...
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https://www.clevelandfed.org/publications/economic-commentary/2014/ec-201411-new-rules-for-credit-default-swap-trading-can-we-now-follow-the-risk
Unlike markets with exchanges, such as the stock market, the CDS market did not provide participants with readily available information on prices or volumes ...
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92
Treasury Securities and the U.S. Sovereign Credit Default ...
http://nationalaglawcenter.org/wp-content/uploads/assets/crs/R41932.pdf
the International Swaps and Derivatives Association (ISDA), ... Some view CDS price trends for U.S. debt as an indicator of the market's ...
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http://nationalaglawcenter.org/wp-content/uploads/assets/crs/R41932.pdf
the International Swaps and Derivatives Association (ISDA), ... Some view CDS price trends for U.S. debt as an indicator of the market's ...
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93
CDS Indices Primer
https://cdn.ihsmarkit.com/www/pdf/1221/CDS-Indices-Primer---2021.pdf
the present value of a new CDS (across both legs) will almost always price ... relationship between reference entities that trade in the credit default swap ...
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https://cdn.ihsmarkit.com/www/pdf/1221/CDS-Indices-Primer---2021.pdf
the present value of a new CDS (across both legs) will almost always price ... relationship between reference entities that trade in the credit default swap ...
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94
Aggregate default and illiquidity of credit default swap spreads
https://www.elsevier.es/en-revista-the-spanish-review-financial-economics-332-articulo-aggregate-default-illiquidity-credit-default-S2173126814000114
There is a consistently positive and significant relationship between CDS spreads ... When these financial securities lost value due to the housing market ...
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https://www.elsevier.es/en-revista-the-spanish-review-financial-economics-332-articulo-aggregate-default-illiquidity-credit-default-S2173126814000114
There is a consistently positive and significant relationship between CDS spreads ... When these financial securities lost value due to the housing market ...
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95
Stock Options and Credit Default Swaps in Risk Management
https://www.napier.ac.uk/-/media/worktribe/output-846382/stock-options-and-credit-default-swaps-in-risk-management.ashx
risk when the underlying stock price falls below the predetermined exercise price, ... They focus on the association between the use of CDS and banks' risk.
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https://www.napier.ac.uk/-/media/worktribe/output-846382/stock-options-and-credit-default-swaps-in-risk-management.ashx
risk when the underlying stock price falls below the predetermined exercise price, ... They focus on the association between the use of CDS and banks' risk.
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96
Credit Default Swaps (CDS) - Derivatives - thisMatter.com
https://thismatter.com/money/derivatives/credit-default-swaps.htm
A CDS significantly reduces the risk of loss from a credit event for holders of bonds issued by the reference entity, because, for the CDS holder to lose, both ...
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https://thismatter.com/money/derivatives/credit-default-swaps.htm
A CDS significantly reduces the risk of loss from a credit event for holders of bonds issued by the reference entity, because, for the CDS holder to lose, both ...
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97
Same firm, two volatilities: How variance risk is priced in credit and ...
https://www.holycross.edu/media/208956/download?attachment
difference between CDS-implied credit volatility and realized CDS return volatility. ... minute interval intraday equity/CDS prices are used. Denoting by pj.
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https://www.holycross.edu/media/208956/download?attachment
difference between CDS-implied credit volatility and realized CDS return volatility. ... minute interval intraday equity/CDS prices are used. Denoting by pj.
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