We analyse the behaviour of credit default swaps (CDS) for a sample of firms and find
support for the theoretical equivalence of CDS prices and credit spreads. When this is …

This paper investigates empirically the relationship between credit spreads and credit
default swap spreads, and how these spreads react to changes in credit ratings. Our findings …

The aim of this study is to determine whether the domestic economy as represented by the
interest rate, the international economic status as represented by the exchange rate or both …

Kredi Temerrüt Swapları (CDS) finansal piyasalarda en yaygın kullanılan kredi türevlerinden
bir tanesidir. Türktahvillerinin CDS primleri ve primleri etkileyen faktörler üzerine …

Özet Kredi temerrüt swapı (Credit Default Swap–CDS) en yalın tanımıyla kredi riskini etkin
bir biçimde yönetme amacıyla satın alınan bir çeşit finansal sigorta sözleşmesidir. Kredi …

This contribution offers an explanation of credit derivatives as a group of financial
instruments having a common purpose being the managing of credit exposures, and thus …

This text is for the relation between credit default swap (CDS) spreads and some chosen
macro economic data in Turkish economy. Credit default swap spread as an insurance …

This paper examines the role of corporate social performance in the CDS market, with a
focus on the differential effect conditional on the lengths of time horizons. We find that firm's …

In the wake of the recent global financial crisis, this paper investigates the determinants of
the Credit Default Swap premium in the UK banking sector for the period January 2004 …

This book provides a comprehensive account of stochastic filtering as a modeling tool in
finance and economics. It aims to present this very important tool with a view to making it …