The Effect of Countries’ Credit Ratings on Credit Default Swap Spreads

2016 ◽  
pp. 71-92 ◽  
Author(s):  
Patrycja Chodnicka-Jaworska
Keyword(s):  
Credit Ratings ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

The Effect of Credit Ratings on Credit Default Swap Spreads and Credit Spreads

2005 ◽  
Vol 15 (3) ◽  
pp. 16-33 ◽  
Author(s):  
Kenneth N. Daniels ◽  
Malene Shin Jensen
Keyword(s):  
Credit Ratings ◽  
Credit Default Swap ◽  
Credit Spreads ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Valuation of systematic risk in the cross-section of credit default swap spreads

2017 ◽  
Vol 64 ◽  
pp. 183-195 ◽  
Author(s):  
Arndt Claußen ◽  
Sebastian Löhr ◽  
Daniel Rösch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK

2013 ◽  
Vol 16 (04) ◽  
pp. 1350021 ◽  
Author(s):  
MARTIN HELLMICH ◽  
STEFAN KASSBERGER ◽  
WOLFGANG M. SCHMIDT
Keyword(s):  
Credit Default Swap ◽  
Jump Diffusion ◽  
Credit Spreads ◽  
Jump Diffusions ◽  
Time Dynamics ◽  
Credit Default ◽  
Gap Risk ◽  
Default Swap ◽  
Swap Spreads ◽  
Quantities Of Interest

This paper investigates a structural credit default model that is based on a hyper-exponential jump diffusion process for the value of the firm. For credit default swap prices and other quantities of interest, explicit expressions for the corresponding Laplace transforms are derived. The time-dynamics of the model are studied, particularly the jumps in credit spreads, the understanding of which is crucial e.g. for the pricing of gap risk. As an application of our findings, the model is calibrated to credit default swap spreads observed in the market.

The pricing of accruals quality in credit default swap spreads

2018 ◽  
Vol 60 (3) ◽  
pp. 1943-1977 ◽  
Author(s):  
Pervaiz Alam ◽  
Xiaoling Pu ◽  
Barry Hettler ◽  
Hai Lin
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Accruals Quality ◽  
Default Swap ◽  
Swap Spreads
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