The Cross-Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

2010 ◽  
Author(s):  
Redouane Elkamhi ◽  
Kris Jacobs ◽  
Xuhui (Nick) Pan
Keyword(s):  
Cross Section ◽  
Credit Default Swap ◽  
Recovery Rates ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
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

Valuation of Systematic Risk in the Cross-Section of Credit Default Swap Spreads

2013 ◽  
Author(s):  
Sebastian LLhr ◽  
Arndt Claussen ◽  
Daniel Roesch ◽  
Harald Scheule
Keyword(s):  
Cross Section ◽  
Systematic Risk ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
The Cross ◽  
Swap Spreads

The Cross Section of Recovery Rates and Default Probabilities Implied by Credit Default Swap Spreads

2014 ◽  
Vol 49 (1) ◽  
pp. 193-220 ◽  
Author(s):  
Redouane Elkamhi ◽  
Kris Jacobs ◽  
Xuhui Pan
Keyword(s):  
Cross Section ◽  
Recovery Rate ◽  
Credit Default Swap ◽  
Cross Sectional ◽  
Recovery Rates ◽  
Daily Data ◽  
Credit Default ◽  
Default Swap ◽  
Structured Credit ◽  
Swap Spreads

AbstractRather than assuming a fixed recovery rate in estimation, we estimate recovery rates from credit default swap spreads, using 3 years of daily data on 152 corporations. We use a quadratic pricing model, which ensures nonnegative default probabilities and recovery rates. The estimated cross section of recovery rates is plausible, with an average recovery rate of 54% and substantial cross-sectional variation. Estimated 5-year default probabilities are on average 67% higher than default probabilities obtained using the standard 40% recovery assumption. This finding critically impacts the valuation of structured credit products. Larger firms and firms with more tangible assets have higher recovery rates.

scholarly journals Exchange Rates and Sovereign Risk

2021 ◽  
Author(s):  
Pasquale Della Corte ◽  
Lucio Sarno ◽  
Maik Schmeling ◽  
Christian Wagner
Keyword(s):  
Risk Factor ◽  
Exchange Rates ◽  
Cross Section ◽  
Credit Default Swap ◽  
Risk Premia ◽  
Sovereign Risk ◽  
Distress Risk ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

An increase in a country’s sovereign risk, as measured by credit default swap spreads, is accompanied by a contemporaneous depreciation of its currency and an increase of its volatility. The relation between currency excess returns and sovereign risk is mainly driven by default expectations (rather than distress risk premia) and exposure to global sovereign risk shocks and also emerges in a predictive setting for currency risk premia. We show that a sovereign risk factor is priced in the cross-section of currency returns and that it is not subsumed by the carry factor. This paper was accepted by David Simchi-Levi, finance.

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
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