Valuation Differences Between Credit Default Swap And Corporate Bond Markets
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Valuation Differences Between Credit Default Swap And Corporate Bond Markets
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Author : Oliver Entrop
language : en
Publisher:
Release Date : 2014
Valuation Differences Between Credit Default Swap And Corporate Bond Markets written by Oliver Entrop and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014 with categories.
This paper quantifies and explains valuation differences between credit default swaps and corporate bonds from a sample of European investment-grade firms. Based on all information gained through the calibration of a stochastic intensity credit model to the time series of the issuer's CDS curve, we define a new corporate bond-specific measure for the valuation difference. Our results show that, on average, risk premia implied in corporate bonds exceed those in CDS markets by a much smaller extent than found in previous studies. Using panel data analysis we detect among others a cross-sectional influence of bond liquidity measures and find a significant impact of the general level of credit risk on the time series variation of the valuation difference.
Credit Default Swaps Pricing Valuation And Investment Applications
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Author : Panagiotis Papadopoulos
language : en
Publisher: GRIN Verlag
Release Date : 2011-04
Credit Default Swaps Pricing Valuation And Investment Applications written by Panagiotis Papadopoulos and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04 with Business & Economics categories.
Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School), course: Financial Derivatives, language: English, abstract: "A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity". Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market. This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.
The Pricing Of Credit Default Swaps During Distress
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Author : Jochen R. Andritzky
language : en
Publisher: International Monetary Fund
Release Date : 2006-11
The Pricing Of Credit Default Swaps During Distress written by Jochen R. Andritzky and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006-11 with Business & Economics categories.
Credit default swaps (CDS) provide the buyer with insurance against certain types of credit events by entitling him to exchange any of the bonds permitted as deliverable against their par value. Unlike bonds, whose risk spreads are assumed to be the product of default risk and loss rate, CDS are par instruments, and their spreads reflect the partial recovery of the delivered bond's face value. This paper addresses the implications of the difference between bond and CDS spreads and shows the extent to which the recovery assumption matters for determining CDS spreads. A no-arbitrage argument is applied to extract recovery rates from CDS and bond markets, using data from Brazil's distress in 2002-03. Results are related to the observation that preemptive restructurings are now more common than straight defaults in sovereign bond markets and that this leads to a decoupling of CDS and bond spreads.
The Var Implementation Handbook Chapter 7 Explaining Cross Sectional Differences In Credit Default Swap Spreads An Alternative Approach Using Value At Risk
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Author : Greg N. Gregoriou
language : en
Publisher: McGraw Hill Professional
Release Date : 2009-02-19
The Var Implementation Handbook Chapter 7 Explaining Cross Sectional Differences In Credit Default Swap Spreads An Alternative Approach Using Value At Risk written by Greg N. Gregoriou and has been published by McGraw Hill Professional this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-02-19 with Business & Economics categories.
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
An Empirical Comparison Of Credit Spreads Between The Bond Market And The Credit Default Swap Market
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Author : Haibin Zhu
language : en
Publisher:
Release Date : 2004
An Empirical Comparison Of Credit Spreads Between The Bond Market And The Credit Default Swap Market written by Haibin Zhu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Bond market categories.
The Negative Basis Credit Default Swap Contracts And Credit Risk During The Financial Crisis
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Author : Matthias Schnare
language : en
Publisher: GRIN Verlag
Release Date : 2011-10-19
The Negative Basis Credit Default Swap Contracts And Credit Risk During The Financial Crisis written by Matthias Schnare and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-10-19 with Business & Economics categories.
Master's Thesis from the year 2010 in the subject Economics - Finance, grade: 5.0 (Schweiz), University of Zurich (Wirtschaftswissenschaften), language: English, abstract: The current developments in the credit or bond markets, influenced by the financial crisis and the economic downturn, revive a discussion about credit derivatives as an instrument of speculation and one cause or determinant of the financial crisis. Currently, CDS are used to speculate against the solvency of the different governments. Critics look at CDS contracts as Overthecounter (OTC) instruments that are not regulated and as bilateral contracts which can have a big influence on the financial position of market participants and on the real credit markets. CDS contracts are mainly instruments for investors to insure against a default of the debtor. For the seller of the CDS they are a possibility to participate in risks he perhaps could not have taken on the bond markets otherwise. These contracts separate the default risk of the debtor from the market conditions, e.g. the market interest rates. They make it possible to only trade the credit risk of a company or a country. Therefore, they can be instruments to proof the bond values and indicators for the real credit risk of the underlying. The discussion about CDS contracts is mostly a discussion including many prejudices and it deals with aspects from different topics which cannot be mixed. Therefore, a clear picture of advantages and disadvantages and especially values and risks of CDS is difficult to be found in the current public discussion and economic newspaper articles. A further phenomenon is that bond markets and CDS markets have lost their connection in the financial crisis. So the credit risk on both markets is valued differently: the prices on the two markets differed so much that market participants used these arbitrage possibilities to earn credit riskfree money for themselves and their customers It can be traded with a simple combination of the underlying bond and the fitting CDS contract. One of the causes of the basis can be the different liquidity level in the two separated markets. For the development of the basis during the crisis it is important to ask how big the changes are compared to the situation before the financial crisis and also how important the credit rating or the industry of the reference entity is.. The price difference, if the CDS price is lower than the credit risk priced by the bond of the same reference entity, is negative basiscalled
Credit Default Swaps
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Author : Christopher L. Culp
language : en
Publisher: Springer
Release Date : 2018-07-12
Credit Default Swaps written by Christopher L. Culp and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-12 with Business & Economics categories.
This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.
Credit Default Swaps Pricing Valuation And Investment Applications
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Author : Panagiotis Papadopoulos
language : en
Publisher: GRIN Verlag
Release Date : 2011-04-12
Credit Default Swaps Pricing Valuation And Investment Applications written by Panagiotis Papadopoulos and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04-12 with Business & Economics categories.
Seminar paper from the year 2010 in the subject Business economics - Investment and Finance, grade: 67%, University of Westminster (Westminster Business School), course: Financial Derivatives, language: English, abstract: “A credit default swap (CDS) is a bilateral agreement designed explicitly to shift credit risk between two parties. In a CDS, one party (protection buyer) pays a periodic fee to another party (protection seller) in return for compensation for default (or similar credit event) by a reference entity”. Credit Default Swaps (CDS) are by far the most popular credit derivatives and have proven to be the most successful financial innovation. The structure of CDS is somewhat similar to the insurance policy. The market of CDS has heavily expanded and is traded in Over-The-Counter (OTC) market. This essay will briefly address the structure and the market of CDS, outlining its common products usage by some large institutions. Following the review of financial structure and pricing of CDS. And finally, this essay will also evaluate the risk management and investment applications of such products.
The Role Of Credit Default Swaps In Leveraged Finance Analysis
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Author : Robert S. Kricheff
language : en
Publisher: FT Press
Release Date : 2012-10-22
The Role Of Credit Default Swaps In Leveraged Finance Analysis written by Robert S. Kricheff and has been published by FT Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-10-22 with Business & Economics categories.
Normal 0 false false false MicrosoftInternetExplorer4 Credit Default Swaps (CDS) influence how bonds and loans trade and the relative value between bonds and loans. CDS can be the best way to hedge the risk of a corporate debt position and can also be a valuable investment tool in its own right. CDS has a multitude of nuances to it, from how its structured to how it is priced to how it is traded. If you are going to do analysis of corporate debt, especially in the leveraged finance market, you need to understand CDS. This booklet walks you through the basics of how CDS works, gives some perspective on how it has changed since the 2008 crisis and gives practical examples of how CDS is used and analyzed for corporate issuers. It is a valuable summary for anyone looking to do corporate credit analysis.
Investing In Corporate Bonds And Credit Risk
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Author : F. Hagenstein
language : en
Publisher: Springer
Release Date : 2004-10-01
Investing In Corporate Bonds And Credit Risk written by F. Hagenstein and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004-10-01 with Business & Economics categories.
Investing in Corporate Bonds and Credit Risk is a valuable tool for any corporate bond investor. All the most recent developments and strategies in investment in corporate bonds are analyzed included with qualitative and quantitative approaches. A complete and up-to-date investment process is developed through the book, using many examples taken from banking practice. The growing significance of derivative instruments and credit diversification to bond investors is also analyzed in detail.