NordenLarsJOURNAL OF BANKING AND FINANCENorden, L. (2017). Information in CDS spreads. Journal of Banking & Finance, 75, 118-135.Norden, L., 2017. Information in CDS spreads. Journal of Banking & Finance 75, 118- 135.Norden, Lars (2017). Information in CDS spreads. Journal of Banking...
CDS spreadsbankruptcy probabilityrisk-neutral densityfinancial crisisfinancial institutionsThe changes in implied bankruptcy chances are applied to explain the credit default swap (CDS) spread changes of six financial institutions during the financial crisis. I estimated the chances from options data, with ...
1 At the same time, we find no meaningful response of the default component of credit spreads (measured by CDS spreads) to the XBRL requirements. Measures of transaction costs and trading volume both exhibit patterns around the introduction of XBRL that are consistent with an increase in ...
Using 5-year credit default swap (CDS) spreads on 2,364 companies in 54 countries during 2004-2011, we show firms exposed to better property rights institutionsdoi:10.2139/ssrn.2492204Lee, JongsubNaranjo, AndySirmans, StaceSocial Science Electronic Publishing...
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The loadings on the first principal component indicate it is a factor that loads evenly on changes in CDS spreads of Ireland, Italy, Portugal and Spain, and loads much less on the change in CDS spread of Greece. The second principal component can be regarded as a Greek factor given Greek ...
CDS spreadsGlobal GamesDispersed InformationThe Global Games literature makes important predictions on how financial crises unfold. This paper tests the empirical relevance of these theories by analyzing how dispersed information affects banks' default risk. We find evidence that precise information acts as...
aIt is informative to examine the relationship between CLN spreads, asset swap spreads and CDS premiums. One can view a CLN as simply a ‘‘funded CDS’’, as illustrated in Figure 6.7. If there is a credit event then the CLN issuer will effectively keep the initial investment of par, ce...
2.2 of [14], more general credit risky products such as coupon-bearing corporate bonds and CDS spreads can be expressed by means of these elementary building blocks. 3. Due to (3), this also implies that the risk premium is unobservable, as in [3] and [22]. 4. This setting can ...
H. (2015). On the relation between the fair value option and bid-ask spreads: Descriptive evidence on the recognition of credit risk changes under IFRS. Journal of Business Economics, 85, 1049–1081. Article Google Scholar Schröder, P. (2022). Mandatory non-financial reporting in the ...