The aim of this study is to determine whether the domestic economy as represented by the
interest rate, the international economic status as represented by the exchange rate or both …

This paper explores the ability of variables suggested by structural models to explain
variation in CDS spread changes. Using monthly changes in CDS spreads for 333 firms from …

This paper examines the interaction between default risk and interest-rate risk in
determining the term structure of credit default swap spreads at different industry sectors and …

The turn of the century has seen the development and growth of more efficient vehicles for
transferring the credit risk of individual credit exposures or a portfolio of them. This growth …

Using a large data set on credit default swaps, we study how default risk interacts with
interest-rate risk and liquidity risk to jointly determine the term structure of credit spreads. We …

This paper examines the CDS market's response to earnings announcements. The results
indicate that earnings announcements contain valuable information with statistically …

This book provides a comprehensive account of stochastic filtering as a modeling tool in
finance and economics. It aims to present this very important tool with a view to making it …

Com a evolução do tempo ea modernização do panorama económico surgiram na
economia diversos instrumentos financeiros novos ea crise financeira tem vindo a ser …

This is the first systematic empirical study of the characteristics and the evolution of credit
default swap (CDS) trading. We study single name reference entities and find a prevalence …

The aim of the paper is to explain the determinants of emerging market sovereign CDS
spreads in the light of European debt crisis. There are two important types of factors that …