Journal Article10.2469/DIG.V36.N1.1812
An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps
1K
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.
read more
Chat with Paper
AI Agents for this Paper
Find similar papers on Google Scholar, PubMed and Arxiv
Write a critical review of this paper
Analyze citations of this paper to find unaddressed research gaps
Citations
The Risk-Adjusted Cost of Financial Distress*
Heitor Almeida,Thomas Philippon +1 more
TL;DR: In this article, the authors estimate the present value of distress costs using risk-adjusted default probabilities derived from corporate bond spreads and show that marginal distress costs can be as large as the marginal tax benefits of debt derived by Graham.
On the Relation Between the Credit Spread Puzzle and the Equity Premium Puzzle
TL;DR: This paper investigated the credit spread implications of the Campbell and Cochrane (1999) pricing kernel calibrated to equity returns and aggregate consumption data, and found that the implied level and time variation of spreads match historical levels well.
394
Quantile Connectedness: Modeling Tail Behavior in the Topology of Financial Networks
01 Apr 2022
TL;DR: In this article , the authors developed a new technique to estimate vector autoregressions with a common factor error structure by quantile regression and applied their technique to study credit risk spillovers among a group of 17 sovereigns and their respective financial sectors between January 2006 and December 2017.
394
Quantile Connectedness: Modelling Tail Behaviour in the Topology of Financial Networks
TL;DR: In this paper, a factor structure is used to remove cross-section correlation in the residuals such that the system can be estimated on an equation-by-equation basis using existing quantile regression toolboxes.
377
Credit Default Swaps and the Credit Crisis
René M. Stulz,René M. Stulz +1 more
TL;DR: This article argued that credit default swaps did not cause the dramatic events of the credit crisis, and that the over-the-counter CDS market worked well during much of the first year of the crisis.
365
References
On the pricing of corporate debt: the risk structure of interest rates
TL;DR: In this article, the American Finance Association Meeting, New York, December 1973, presented an abstract of a paper entitled "The Future of Finance: A Review of the State of the Art".
12.5K
Constraints on short-selling and asset price adjustment to private information
TL;DR: In this paper, the effects of short-sale constraints on the speed of adjustment (to private information) of security prices are modeled. But short-sellers do not bias prices upward, while non-prohibitive costs have the reverse effect.
2.1K
Explaining the Rate Spread on Corporate Bonds
TL;DR: In this article, the authors examined and explained the differences in the rates offered on corporate bonds and those offered on government bonds, and examined whether there is a risk premium in corporate bond spreads and, if so, why it exists.
The Relationship between Credit Default Swap Spreads, Bond Yields, and Credit Rating Announcements
TL;DR: In this paper, the relationship between credit default swap spreads and bond yields was examined and conclusions on the benchmark risk-free rate used by participants in the credit derivatives market were reached.
1.1K
Flight-to-Quality or Flight-to-Liquidity? Evidence from the Euro-Area Bond Market
TL;DR: This article showed that the bulk of sovereign yield spreads are explained by differences in credit quality, though liquidity plays a non-trivial role especially for low credit risk countries and during times of heightened market uncertainty.