High Yield Spread as a Predictor of Credit Default Swap Seller’s Return in the Corporate Sector Purchase Program Landscape

2019 ◽  
Author(s):  
Morris Mendicino
Keyword(s):  
Credit Default Swap ◽  
High Yield ◽  
Yield Spread ◽  
Corporate Sector ◽  
Credit Default ◽  
Default Swap

High Yield Bonds

2019 ◽  
pp. 599-620
Author(s):  
Byron C. Barnes ◽  
Tony Calenda ◽  
Elvis Rodriguez
Keyword(s):  
Interest Rates ◽  
Economic Activity ◽  
Default Risk ◽  
Credit Default Swap ◽  
High Yield ◽  
Credit Default ◽  
Key Drivers ◽  
Default Swap ◽  
Investment Grade ◽  
Credit Event

High yield bonds (HYBs) have become an integral part of the funding and investment landscape. HYBs are bonds rated below investment grade, indicating a potentially greater default risk and concomitant return. Although often associated with leveraged buyouts (LBOs), corporations also use HYBs to finance general corporate needs. The key drivers of HYB issuance include general economic activity, the number and size of transactions requiring financing, interest rates, and the availability of substitute financial products such as leveraged loans. Leveraged loans are another source of financing for issuers with a similar profile as HYB issuers. A key difference between HYBs and leveraged loans is that the covenants associated with a leveraged loan are typically more lender friendly. Similar to investment grade bonds, investors can purchase insurance to hedge a long HYB position against a credit event by using a credit default swap.

scholarly journals SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR

2011 ◽  
Vol 14 (1) ◽  
pp. 31-49
Author(s):  
Moch Doddy Ariefianto ◽  
Soenartomo Soepomo
Keyword(s):  
Developing Countries ◽  
Credit Default Swap ◽  
Foreign Exchange Reserve ◽  
Yield Spread ◽  
Sovereign Risk ◽  
Global Risk ◽  
Risk Appetite ◽  
Credit Default ◽  
World Economic ◽  
Default Swap

This study conducts econometric analysis CDS Premium relations towards variables usually used as a sovereign rating explanatory. Estimation with data panel econometric found that global risk appetite is the most important influencing variable followed by foreign exchange reserve and yield spread. This item is consistent with the existing empiric literature and shows a high correlation between developing countries economy and world economic cycle.JEL Classification : F34, F32, G13, G15, C23Keywords: Sovereign Risk, Credit Default Swap, Panel Data

scholarly journals ANALISA SOVEREIGN RISK NEGARA BERKEMBANG: TEMUAN DARI PERILAKU PREMI CREDIT DEFAULT SWAP

2011 ◽  
Vol 14 (1) ◽  
pp. 31-50
Author(s):  
Moch. Doddy Ariefianto ◽  
Soenartomo Soepomo
Keyword(s):  
Panel Data ◽  
Credit Default Swap ◽  
Yield Spread ◽  
Sovereign Risk ◽  
Global Risk ◽  
Risk Appetite ◽  
Credit Default ◽  
Default Swap

Persepsi pelaku pasar asing terhadap perekonomian domestik dapat diukur melalui sovereign risk. Risiko ini merupakan hasil evaluasi/assestment lembaga rating mengenai probabilitas suatu entitas berdaulat (negara) akan melakukan wanprestasi terhadap kewajiban komersialnya (Beers dan Cavanaugh, 2006). Wanprestasi ini terjadi baik karena ketiadaan kapasitas maupun kesengajaan.Pengukuran persepsi risiko ini telah cukup lama dilakukan melalui rating oleh suatu lembaga pemeringkat. Menjelang akhir abad ke 20, suatu instrumen baru yakni Credit Default Swap (CDS) muncul sebagai suatu alat pengukuran sovereign risk. Sebagai suatu instrumen yang melakukan lindung nilai terhadap kemungkinan default hutang, maka secara alamiah premi dari CDS akan merefleksikan kemampuan membayar. Terkait dengan konteks sovereign, maka kemampuan membayar ini dapat dihubungkan dengan berbagai variabel ekonomi makro domestik dan global (aspek fundamental).Studi ini melakukan analisa ekonometris hubungan premi CDS terhadap variabel-variabel yang biasa digunakan sebagai penjelas sovereign rating. Berdasarkan literatur empiris yang ada diantaranya Beers dan Cavanaugh (2006), Weigel dan Gemmil (2006) serta Ismailescu dan Kazemi (2010), 9 variabel ekonomi makro yakni pertumbuhan PDB, inflasi, depresiasi, yield spread (terhadap US Treasury), rasio hutang pemerintah, cadangan devisa, rasio defisit fiskal, neraca berjalan dan global risk appetite digunakan untuk menjelaskan pergerakan CDS tenor 5 tahun. Suatu dataset panel yang terdiri atas 10 negara berkembang pada periode 2004-2009 (frekuensi tahunan) digunakan untuk memverifikasi pola hubungan yang ada.Estimasi dengan ekonometrika panel data menemukan risk appetite global sebagai variabel pengaruh terpenting disusul dengan cadangan devisa dan yield spread. Hal ini konsisten dengan literatur empiris yang ada serta menunjukkan keterkaitan yang tinggi perekonomian negara berkembang dengan siklus ekonomi dunia.Keywords : Sovereign Risk, Credit Default Swap, Fundamental Ekonomi Makro, Panel DataJEL Classification : F34 F32 G13 G15 C23

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
Sign in / Sign up

Export Citation Format

Share Document