Zobrazeno 1 - 10
of 65
pro vyhledávání: '"Christopher L. Culp"'
We propose implied spreads (IS) and normalized implied spreads (NIS) as simple measures to characterize option prices. IS is the credit spread of an option's implied bond, the portfolio long a risk-free bond and short a put option. NIS normalizes IS
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a569edb21fc2f008d60428a4eef9294c
https://doi.org/10.3386/w28941
https://doi.org/10.3386/w28941
Publikováno v:
SSRN Electronic Journal.
Publikováno v:
American Economic Review. 108:454-488
We present a novel empirical benchmark for analyzing credit risk using “pseudo firms” that purchase traded assets financed with equity and zero-coupon bonds. By no-arbitrage, pseudo bonds are equivalent to Treasuries minus put options on pseudo f
Publikováno v:
Journal of Applied Corporate Finance. 29:45-64
Shadow banking is the process by which banks raise funds from and transfer risks to entities outside the traditional commercial banking system. Many observers blamed the sudden expansion in 2007 of U.S. sub†prime mortgage market disruptions into
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
Credit default swaps (“CDSs”) based on more than one reference entity include bespoke portfolio CDSs with customized reference portfolios, basket CDSs with individualized reference portfolios and engineered payoffs (e.g., Nth-to-default CDSs and
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3df0a23b211ac110c25f1126490a73b4
https://doi.org/10.1007/978-3-319-93076-3_4
https://doi.org/10.1007/978-3-319-93076-3_4
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
Credit default swaps (“CDSs”) can give rise to potential costs: (i) lenders hedging borrower credit exposures could use CDSs to justify extending riskier loans, not doing sufficient up-front due diligence, and/or underinvesting in ongoing credit
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1241ec15dd12b77d1a8bc6da7361ff9a
https://doi.org/10.1007/978-3-319-93076-3_8
https://doi.org/10.1007/978-3-319-93076-3_8
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
We review the empirical academic literature on the informational content of credit default swap (“CDS”) spreads. Most of this literature posits and empirically documents that CDS spreads generally: (i) contain valuable information about the proba
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::715ebbec235dda7abfb30b5841b77ed3
https://doi.org/10.1007/978-3-319-93076-3_9
https://doi.org/10.1007/978-3-319-93076-3_9
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
Empirical academic research regarding the impact of credit default swaps (“CDSs”) on lenders to reference entities and reference entities themselves yield the following general results: (i) CDSs are generally used by lenders to fine-tune their de
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::e7bac2330acccf8432c15ab57250b81d
https://doi.org/10.1007/978-3-319-93076-3_10
https://doi.org/10.1007/978-3-319-93076-3_10
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
No-arbitrage relationships characterize relative prices of credit default swaps (“CDSs”) vis-a-vis bonds and equities issued by the same reference entities. We review the empirical academic literature on which of the three markets is the Primary
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d4b216a496aeb797eda14e08a37d73d3
https://doi.org/10.1007/978-3-319-93076-3_11
https://doi.org/10.1007/978-3-319-93076-3_11
Publikováno v:
Palgrave Studies in Risk and Insurance ISBN: 9783319930756
We discuss the underlying market for broadly syndicated leveraged loans that characterize the deliverable loans on which most loan-only CDSs (“LCDSs”) are based. We then review the significant distinctions between single-name CDSs (typically base
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::39e4bde5017f23d15046b5aefe141a74
https://doi.org/10.1007/978-3-319-93076-3_3
https://doi.org/10.1007/978-3-319-93076-3_3