A Joint Analysis of the Term Structure of Credit Default Swap Spreads and the Implied Volatility Surface

2013 ◽  
Vol 33 (6) ◽  
pp. 494-517 ◽  
Author(s):  
José Da Fonseca ◽  
Katrin Gottschalk
Keyword(s):  
Term Structure ◽  
Implied Volatility ◽  
Credit Default Swap ◽  
Joint Analysis ◽  
Implied Volatility Surface ◽  
Credit Default ◽  
Default Swap ◽  
Volatility Surface ◽  
Swap Spreads

scholarly journals Accounting Transparency and the Term Structure of Credit Default Swap Spreads

2008 ◽  
Author(s):  
Claus Bajlum ◽  
Peter Tind Larsen
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Implied Liquidity Risk in the Term Structure of Sovereign Credit Default Swap Spreads

2012 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Understanding the term structure of credit default swap spreads

2015 ◽  
Vol 31 ◽  
pp. 18-35 ◽  
Author(s):  
Bing Han ◽  
Yi Zhou
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

scholarly journals Credit Spreads and Equity Volatility during Periods of Financial Turmoil

2014 ◽  
Vol 3 (1) ◽  
pp. 28
Author(s):  
Katrin Gottschalk
Keyword(s):  
Term Structure ◽  
Implied Volatility ◽  
Global Financial Crisis ◽  
Debt Crisis ◽  
Credit Default Swap ◽  
The United States ◽  
Joint Analysis ◽  
European Debt Crisis ◽  
Volatility Surface ◽  
The Global Financial Crisis

We present a joint analysis of the term structure of credit default swap (CDS) spreads and the implied volatility surface for the United States and five European countries from 2007– 2012, a sample period covering both the Global Financial Crisis (GFC) and the European debt crisis. We analyze to which extent effective cross-hedges can be performed between the CDS and equity derivatives markets during these two crises. We find that during a global crisis a breakdown of the relationship between credit risk and equity volatility may occur, jeopardizing any cross-hedging strategy, which happened during the GFC. This stands in sharp contrast to the more localized European debt crisis, during which this fundamental relationship was preserved despite turbulent market conditions for both the CDS and volatility markets.

The signalling properties of the shape of the credit default swap term structure

2015 ◽  
Vol 17 (4) ◽  
pp. 71-99 ◽  
Author(s):  
Jenny Castellanos ◽  
Nick Constantinou ◽  
Wing Lon Ng
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

Credit default swap spreads, fair-value spreads and interest rate dynamics

2012 ◽  
Vol 8 (4) ◽  
pp. 53-129 ◽  
Author(s):  
Andy Jia-Yuh Yeh
Keyword(s):  
Interest Rate ◽  
Credit Default Swap ◽  
Fair Value ◽  
Interest Rate Dynamics ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads
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