Resilience of United Kingdom financial institutions to major uncertainty: A network analysis related to the Credit Default Swaps market
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DOI: 10.1016/j.jbusres.2019.04.003
Abstract: Abstract The banking sector plays an important role in the UK economy as a whole, and investors are increasingly concerned about the ability of UK-based banks to withstand the consequences of major uncertainty such as… read more here.
Keywords: financial institutions; credit default; major uncertainty; related credit ... See more keywords
The effects of credit default swap trading on information asymmetry in syndicated loans
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DOI: 10.1016/j.jfineco.2016.10.001
Abstract: This study shows that initiation of credit default swap (CDS) trading for an entity's debt increases the share of loans retained by loan syndicate lead arrangers and increases loan spread. These findings are consistent with… read more here.
Keywords: default swap; loan; effects credit; credit default ... See more keywords
Credit default swaps, exacting creditors and corporate liquidity management
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DOI: 10.1016/j.jfineco.2017.02.001
Abstract: We investigate the liquidity management of firms following the inception of credit default swaps (CDS) markets on their debt, which allow hedging and speculative trading on credit risk to be carried out by creditors and… read more here.
Keywords: default swaps; liquidity; credit; credit default ... See more keywords
The use of credit default swaps by bond mutual funds: Liquidity provision and counterparty risk
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DOI: 10.1016/j.jfineco.2018.07.014
Abstract: Corporate bond mutual funds increased their selling of credit protection in the credit default swaps (CDS) market during the 2007–2008 financial crisis. This trading activity was primarily in multi-name CDS, greater among larger and established… read more here.
Keywords: default swaps; bond mutual; risk; mutual funds ... See more keywords
Quality of government institutions and spreads on sovereign credit default swaps
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DOI: 10.1016/j.jimonfin.2018.05.008
Abstract: We examine how the quality of government institutions affects the likelihood of sovereign default. We find both economically and statistically significant adverse effects of country governance indicators on sovereign credit default swap spreads. The evidence… read more here.
Keywords: government institutions; default; credit default; sovereign credit ... See more keywords
A jump model for credit default swaps with hierarchical clustering
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DOI: 10.1016/j.physa.2019.04.255
Abstract: Abstract The return time series of Credit Default Swaps (CDS) display possibly the highest excess kurtosis and skewness of any asset class in capital markets. Capturing this requires a departure from classical modeling techniques. Here,… read more here.
Keywords: hierarchical clustering; default swaps; model; credit default ... See more keywords
The Housing Market and the Credit Default Swap premium in the UK Banking Sector: A VAR Approach
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DOI: 10.1016/j.ribaf.2017.01.009
Abstract: In the wake of the recent global financial crisis, this paper investigates the determinants of the Credit Default Swap premium in the UK banking sector for the period January 2004–April 2011. Employing a VAR model,… read more here.
Keywords: credit default; cds premium; house; premium ... See more keywords
Systemic risk spillovers in sovereign credit default swaps in Europe: a spatial approach
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DOI: 10.1057/s41260-017-0068-1
Abstract: This paper explores systemic risk spillovers between sovereign credit default swaps (CDS) returns in Europe during the period 2006–2016. We model spillovers using a spatial regression approach that allows us to analyze the effects of… read more here.
Keywords: risk; systemic risk; credit default; sovereign credit ... See more keywords
Volatility spillovers and connectedness among credit default swap sector indexes
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DOI: 10.1080/00036846.2018.1430344
Abstract: ABSTRACT This article studies volatility spill-over effects and market connectedness using daily data of credit default swap spreads for U.S. companies over a period from 2007 to 2012. We quantify volatility spillovers by means of… read more here.
Keywords: volatility; credit default; market; sector ... See more keywords
Risk management of deposit insurance corporations with risk-based premiums and credit default swaps
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DOI: 10.1080/14697688.2020.1726437
Abstract: In this paper, we propose a risk-based model for deposit insurance premiums and provide the closed-form formula for premiums, including early closure, capital forbearance, interest rate risk, and moral hazard. Our numerical analysis confirms the… read more here.
Keywords: risk based; deposit insurance; deposit; credit default ... See more keywords
The role of credit default swaps in determining corporate payout policy
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DOI: 10.1111/fima.12381
Abstract: We examine how the introduction of credit default swap (CDS) trading on the debt of individual firms affects corporate payout policy. We find that firms increase payouts to shareholders after the introduction of CDS trading… read more here.
Keywords: payout policy; payout; credit default; corporate payout ... See more keywords