Decoding default risk: A review of modeling approaches, findings, and estimation methods
Default risk permeates the behavior of corporate bond returns and spreads, credit default
swap spreads, estimation of default probabilities, and loss in default. Pertinent to this review …
swap spreads, estimation of default probabilities, and loss in default. Pertinent to this review …
Credit default swaps: A survey
P Augustin, MG Subrahmanyam… - … and trends® in …, 2014 - nowpublishers.com
Credit default swaps (CDS) have been growing in importance in the global financial
markets. However, their role has been hotly debated, in industry and academia, particularly …
markets. However, their role has been hotly debated, in industry and academia, particularly …
CDS spreads and COVID-19 pandemic
US corporate credit default swap (CDS) spreads have significantly increased since the
beginning of the COVID-19 global pandemic. This paper shows that the magnitude of the …
beginning of the COVID-19 global pandemic. This paper shows that the magnitude of the …
Reduced-form models of correlated default timing: a systematic literature review
H Nguyen, X Zhou - Journal of Accounting Literature, 2023 - emerald.com
Purpose This paper aims to provide an overview, a classification of existing research groups
for correlated default models using a reduced-form method and an identification of future …
for correlated default models using a reduced-form method and an identification of future …
The empirical analysis of liquidity
CW Holden, S Jacobsen… - … and Trends® in …, 2014 - nowpublishers.com
We provide a synthesis of the empirical evidence on market liquidity. The liquidity
measurement literature has established standard measures of liquidity that apply to broad …
measurement literature has established standard measures of liquidity that apply to broad …
Time‐Varying Asset Volatility and the Credit Spread Puzzle
D Du, R Elkamhi, J Ericsson - The Journal of Finance, 2019 - Wiley Online Library
Most extant structural credit risk models underestimate credit spreads—a shortcoming
known as the credit spread puzzle. We consider a model with priced stochastic asset risk …
known as the credit spread puzzle. We consider a model with priced stochastic asset risk …
Real economic shocks and sovereign credit risk
P Augustin, R Tédongap - Journal of Financial and Quantitative …, 2016 - cambridge.org
We provide new empirical evidence that US expected growth and consumption volatility are
closely related to the strong comovement in sovereign spreads. We rationalize these …
closely related to the strong comovement in sovereign spreads. We rationalize these …
Modeling credit contagion via the updating of fragile beliefs
L Benzoni, P Collin-Dufresne… - The Review of …, 2015 - academic.oup.com
We propose an equilibrium model for defaultable bonds that are subject to contagion risk.
Contagion arises because agents with “fragile beliefs” are uncertain about the underlying …
Contagion arises because agents with “fragile beliefs” are uncertain about the underlying …
Liquidity risk in credit default swap markets
B Junge, AB Trolle - Swiss Finance Institute Research Paper, 2015 - papers.ssrn.com
We show that liquidity risk is priced in the cross section of returns on credit default swaps
(CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels …
(CDSs). We measure CDS market illiquidity by aggregating deviations of credit index levels …
The impact of government interventions on CDS and equity markets
FA Schweikhard, Z Tsesmelidakis - Finance Meeting EUROFIDAI …, 2011 - papers.ssrn.com
We question the impact of government guarantees on the pricing of default risk in credit and
stock markets and, using a Merton-type credit model, provide evidence of a structural break …
stock markets and, using a Merton-type credit model, provide evidence of a structural break …