Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

2014 ◽  
Vol 46 (2) ◽  
pp. 243-273 ◽  
Author(s):  
Michele Leonardo Bianchi ◽  
Frank J. Fabozzi
Keyword(s):  
Credit Default Swap ◽  
Stochastic Intensity ◽  
Credit Default ◽  
Default Swap ◽  
Non Gaussian ◽  
Swap Spreads

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

The Impact of Credit Rating Announcements on Corporates' Credit Default Swap Spreads - Are There Intra-Industry Effects Observable?

2012 ◽  
Author(s):  
Hans-Peter Burghof ◽  
Philipp Johannes Schneider ◽  
Andreas Wengner
Keyword(s):  
Credit Rating ◽  
Credit Default Swap ◽  
Industry Effects ◽  
Credit Default ◽  
Default Swap ◽  
The Impact ◽  
Swap Spreads

The Impact of Debt Covenant Violation on Credit Default Swap Spreads

2017 ◽  
Author(s):  
Changling Chen ◽  
Jeong-Bon Kim ◽  
Chunmei Zhu
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Debt Covenant ◽  
Debt Covenant Violation ◽  
Default Swap ◽  
The Impact ◽  
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

Anchoring Credit Default Swap Spreads to Firm Fundamentals

2012 ◽  
Author(s):  
Jennie Bai ◽  
Liuren Wu
Keyword(s):  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
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

scholarly journals Component Structure of Credit Default Swap Spreads and Their Determinants

2018 ◽  
Vol 8 (4) ◽  
pp. 248
Author(s):  
Ramaprasad Bhar ◽  
David Colwell ◽  
Peipei Wang
Keyword(s):  
Yield Curve ◽  
Credit Default Swap ◽  
Component Structure ◽  
Explanatory Variables ◽  
Component Framework ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads ◽  
Transitory Component

In this paper, we decompose credit default swap (CDS) spreads into a transitory component and a persistent component and test how these components are affected by the theoretical explanatory variables. We find significant but differing impacts of these explanatory variables on the extracted components. For example, equity volatility seems to have a larger influence on the transitory component, suggesting that its effect may be mostly short-lived, while our proxy for illiquidity has a greater impact on the persistent component indicating its more enduring effect. Also, the slope of the yield curve has impacts with opposite signs on the two components and so our analysis thus helps address the conflicting results reported in earlier studies without such a component framework. These results indicate that a two-factor formulation may be needed to model CDS options.

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