Credit Cycles, Securitization, and Credit Default Swaps
نویسندگان
چکیده
منابع مشابه
Credit Risk and IFRS : The Case of Credit Default Swaps
Theory predicts that the accounting information transparency affects credit spreads. Given that one of the putative benefits of International Financial Reporting Standards (IFRS) is transparency of accounting information, this study evaluates the impact of IFRS on the pricing of credit spreads in the over-the-counter Credit Default Swap (CDS) market. Using a difference in differences methodolog...
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Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt. Actually, it has been recognized that CDS spread time series did not anticipate but only followed the increasing risk of default before the financial crisis. In principle, the network of correlations among CDS spread time series could at least display some form of structural change to be used as an ...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2019
ISSN: 1556-5068
DOI: 10.2139/ssrn.3311130