The Collateral Rule: Evidence from the Credit Default Swap Market

Journal of Monetary Economics ◽

10.1016/j.jmoneco.2021.12.003 ◽

2021 ◽

Author(s):

Agostino Capponi ◽

W. Allen Cheng ◽

Stefano Giglio ◽

Richard Haynes

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

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Le marché des Credit Default Swap (CDS)

Économie & prévision ◽

10.3406/ecop.2009.7931 ◽

2009 ◽

Vol 189 (3) ◽

pp. 133-140

Author(s):

Antoine Bouveret

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

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Study of correlation impact on credit default swap margin using a GARCH–DCC-copula framework

The Journal of Financial Market Infrastructures ◽

10.21314/jfmi.2018.113 ◽

2019 ◽

Author(s):

David Li ◽

Roy M. Cheruvelil

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

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

The Journal of Risk ◽

10.21314/jor.2015.298 ◽

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 ◽

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

The Journal of Credit Risk ◽

10.21314/jcr.2012.154 ◽

2012 ◽

Vol 8 (4) ◽

pp. 53-129 ◽

Author(s):

Andy Jia-Yuh Yeh

Keyword(s):

Interest Rate ◽

Credit Default Swap ◽

Interest Rate Dynamics ◽

Credit Default ◽

Default Swap ◽

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The Credit Default Swap Market's Determinants

SSRN Electronic Journal ◽

10.2139/ssrn.1104887 ◽

2008 ◽

Author(s):

Caitlin Ann Greatrex

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

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Intra-Daily Variations in Volatility and Transaction Costs in the Credit Default Swap Market

SSRN Electronic Journal ◽

10.2139/ssrn.1509323 ◽

2009 ◽

Author(s):

Andras Fulop ◽

Laurence Lescourret

Keyword(s):

Transaction Costs ◽

Credit Default Swap ◽

Daily Variations ◽

Credit Default ◽

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Empirical Tests on the Credit Default Swap and Stock Markets During the Global Credit Crisis

SSRN Electronic Journal ◽

10.2139/ssrn.1734712 ◽

2010 ◽

Author(s):

Kam Fong Chan ◽

Alastair D.E. Marsden

Keyword(s):

Stock Markets ◽

Credit Default Swap ◽

Credit Crisis ◽

Credit Default ◽

Default Swap ◽

Empirical Tests

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

SSRN Electronic Journal ◽

10.2139/ssrn.2084916 ◽

2012 ◽

Author(s):

Hans-Peter Burghof ◽

Philipp Johannes Schneider ◽

Andreas Wengner

Keyword(s):

Credit Rating ◽

Credit Default Swap ◽

Industry Effects ◽

Credit Default ◽

Default Swap ◽

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The Influence of Systemic Importance Indicators on Bankss Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2648466 ◽

2015 ◽

Author(s):

Jill Cetina ◽

Bert Loudis

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Default Swap ◽

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The Impact of Debt Covenant Violation on Credit Default Swap Spreads

SSRN Electronic Journal ◽

10.2139/ssrn.2893672 ◽

2017 ◽

Author(s):

Changling Chen ◽

Jeong-Bon Kim ◽

Chunmei Zhu

Keyword(s):

Credit Default Swap ◽

Credit Default ◽

Debt Covenant ◽

Debt Covenant Violation ◽

Default Swap ◽

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