Credit default swap calibration and derivatives pricing with the SSRD stochastic intensity model

2005 ◽  
Vol 9 (1) ◽  
pp. 29-42 ◽  
Author(s):  
Damiano Brigo ◽  
Aur�lien Alfonsi
Keyword(s):  
Credit Default Swap ◽  
Derivatives Pricing ◽  
Stochastic Intensity ◽  
Credit Default ◽  
Default Swap ◽  
Intensity Model

scholarly journals Internal Control Quality and Credit Default Swap Spreads

2015 ◽  
Vol 29 (3) ◽  
pp. 603-629 ◽  
Author(s):  
Dragon Yongjun Tang ◽  
Feng Tian ◽  
Hong Yan
Keyword(s):  
Internal Control ◽  
Credit Default Swap ◽  
Bank Loans ◽  
Data Availability ◽  
Cost Of Debt ◽  
Material Weakness ◽  
Derivatives Pricing ◽  
Control Quality ◽  
Credit Default ◽  
Default Swap

SYNOPSIS This paper presents the first study on the effects of internal control quality on derivatives pricing. Specifically, we utilize data from the credit default swap (CDS) transactions of well-monitored companies to examine the relationship between the quality of internal control and the cost of debt. CDS data are advantageous for the study of this relationship because CDS contracts are comparatively more homogeneous, standardized, and liquid than either bank loans or public bonds. We find that, all else being equal, companies experiencing internal control material weakness (MW) exhibit higher CDS spreads than companies with effective internal control. Moreover, the MW effect on CDS spreads is more pronounced for company-level MWs than for less severe, account-specific MWs. We also document that CDS spreads increase around the filings of MWs. Furthermore, the deterioration of internal control quality is related to increases in CDS spreads. Finally, short-maturity CDS spreads are more affected by MWs than are long-maturity CDS spreads. JEL Classifications: M41; G32; K22. Data Availability: The data are available from public sources.

Le marché des Credit Default Swap (CDS)

2009 ◽  
Vol 189 (3) ◽  
pp. 133-140
Author(s):  
Antoine Bouveret
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap

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
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