CDS volatility: the key signal of credit quality
نویسندگان
چکیده
منابع مشابه
CDS Credit-Event Auctions
Credit-event auctions were introduced in 2005 to facilitate cash settlement in the credit default swap market following a credit event. The auctions have a novel and complex structure that makes them distinct from other auction forms. This paper studies outcomes in credit-event auctions over the period 2008-10. We find that the auction price has a significant bias relative to the preand post-au...
متن کاملCDS and equity volatility: theoretical modelling and ..._Giorgio CONSIGLI CREDIT DEFAULT SWAPS AND EQUITY VOLATILITY: THEORETICAL MODELLING AND MARKET EVIDENCE
ABSTRACT The joint behaviour of equity premiums and credit spreads on securities issued by the same company provides a direct statistical evidence of the degree of efficiency of equity and fixed income markets, whose participants are expected in the long term to provide a common risk assessment. Increasing interest in the financial industry is attracted both for financial engineering and tradin...
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چکیده ندارد.
the study of practical and theoretical foundation of credit risk and its coverage
پس از بررسی هر کدام از فاکتورهای نوع صنعت, نوع ضمانت نامه, نرخ بهره , نرخ تورم, ریسک اعتباری کشورها, کارمزد, ریکاوری, gdp, پوشش و وثیقه بر ریسک اعتباری صندوق ضمانت صادرات ایران مشخص گردید که همه فاکتورها به استثنای ریسک اعتباری کشورها و کارمزد بقیه فاکتورها رابطه معناداری با ریسک اعتباری دارند در ضمن نرخ بهره , نرخ تورم, ریکاوری, و نوع صنعت و ریسک کشورها اثر عکس روی ریسک اعتباری داردو پوشش, وثی...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2012
ISSN: 0254-5330,1572-9338
DOI: 10.1007/s10479-012-1244-9