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
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