scholarly journals Dynamic Interactions Between Interest Rate, Credit, and Liquidity Risks: Theory and Evidence from the Term Structure of Credit Default Swap Spreads

2005 ◽  
Author(s):  
Ren-Raw Chen ◽  
Xiaolin Cheng ◽  
Liuren Wu
Keyword(s):  
Interest Rate ◽  
Term Structure ◽  
Credit Default Swap ◽  
Dynamic Interactions ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Dynamic Interactions Between Interest-Rate and Credit Risk: Theory and Evidence on the Credit Default Swap Term Structure*

2011 ◽  
Vol 17 (1) ◽  
pp. 403-441 ◽  
Author(s):  
Ren-Raw Chen ◽  
Xiaolin Cheng ◽  
Liuren Wu
Keyword(s):  
Interest Rate ◽  
Credit Risk ◽  
Term Structure ◽  
Credit Default Swap ◽  
Risk Theory ◽  
Dynamic Interactions ◽  
Credit Default ◽  
Default Swap

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

scholarly journals Accounting Transparency and the Term Structure of Credit Default Swap Spreads

2008 ◽  
Author(s):  
Claus Bajlum ◽  
Peter Tind Larsen
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Implied Liquidity Risk in the Term Structure of Sovereign Credit Default Swap Spreads

2012 ◽  
Author(s):  
Saad Badaoui ◽  
Lara Cathcart ◽  
Lina El-Jahel
Keyword(s):  
Term Structure ◽  
Liquidity Risk ◽  
Credit Default Swap ◽  
Sovereign Credit ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

Understanding the term structure of credit default swap spreads

2015 ◽  
Vol 31 ◽  
pp. 18-35 ◽  
Author(s):  
Bing Han ◽  
Yi Zhou
Keyword(s):  
Term Structure ◽  
Credit Default Swap ◽  
Credit Default ◽  
Default Swap ◽  
Swap Spreads

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

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
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