Journal Article10.2469/DIG.V36.N1.1812
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
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About: This article is published in Cfa Digest. The article was published on 01 Feb 2006. The article focuses on the topics: iTraxx & Credit default swap index.
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Citations
The estimation of default probabilities with liquidity by Markov chain
Tong Zhong-wen
- 04 Feb 2011
TL;DR: In this paper, a default-risky debt valuation model is presented, which assumes that market liquidity modelled by the intensity of default is driven by a continuous-time Markov chain.
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Debtholder Wealth Effects in Mergers and Acquisitions: Evidence from the CDS Market
Kai Huettermann,Denisa Lleshaj +1 more
TL;DR: This article examined changes in acquirer and target companies' Credit Default Swap (CDS) spreads as a proxy for default risk around official mergers and acquisitions (M&A) announcements.
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Sovereign Credit Default Swap
Gaiyan Zhang
- 16 Aug 2014
TL;DR: In this paper, a comprehensive overview of the young, but rapidly growing sovereign credit default swap (CDS) market, describes the function, trading, history, market participants, key statistical and stylized facts about CDS prices, determinants, price discovery, and risk issues.
2
Green bond issuance and credit Risk: International evidence
Laura Ballester,Ana González‐Urteaga,Shijun Long +2 more
TL;DR: Green bond issuance and credit risk have a complex relationship. The sector of activity, issuer's ESG score, E score, and other factors influence the impact on credit risk.
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US Bank Credit Spreads During the Financial Crisis
TL;DR: In this paper, the authors argue that first passage time models are likely to better than affine hazard rate models in modelling stressed credit markets and confirm their superior performance in explaining the behavior of Credit Default Swap rates for the major US banking groups over the period of the financial crisis.
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