The Credit Default Swaps Market: Areas of Vulnerability and Regulatory Responses
نویسندگان
چکیده
منابع مشابه
The Real Effects of Credit Default Swaps
We examine the effect of introducing credit default swaps (CDSs) on firms’ investment and financing policies. Our model allows for dynamic investment and dynamic financing using equity and debt, and debt holders can trade in the CDS market. After calibrating the model, we compare an economy with a CDS market to an economy without one. The model contains both positive and negative effects of CDS...
متن کاملCredit 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...
متن کاملCredit Default Swaps and the Canadian Context
significant aspect of the evolution of credit markets has been the development of credit-risk transfer through the use of derivatives.1 Globally, one of the fastest-growing derivative products is the credit default swap (CDS). This article describes the basic mechanics of a CDS, assesses the impact of CDSs on market efficiency, and considers the implications of the growing market for CDSs for f...
متن کاملValuation of credit default swaps and swaptions
This paper presents a conceptual framework for valuation of single-name credit derivatives, and recuperates, in some cases generalizing, a few of known results in credit risk theory. Valuation is viewed with respect to a given state price density and relative to a general numeraire. Default probabilities and recoveries are considered as processes adapted to a subfiltration, following Jeanblanc ...
متن کاملCredit Default Swaps (CDS) and their Role in the Credit Risk Market
The market for credit default swaps (CDS) has experienced explosive growth in the past. Credit default swaps have existed since the early 1990s and the market increased tremendously starting in 2003. By the end of 2007, the outstanding amount was $62.2 trillion, falling to $38.6 trillion by the end of 2008. The recent crisis has revealed several shortcomings in CDS market practices and structur...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2010
ISSN: 1556-5068
DOI: 10.2139/ssrn.3400581