| Autor: |
Bettina J. Stärkle, Andria van der Merwe, Christopher L. Culp |
| Rok vydání: |
2018 |
| Předmět: |
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| Zdroj: |
Palgrave Studies in Risk and Insurance ISBN: 9783319930756 |
| Popis: |
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 probability and severity of adverse credit events that the underlying reference entities may experience during the life of the CDS; (ii) reflect a risk premium that protection sellers demand to compensate them for reference entity-specific and systematic risks (both credit-related and non-credit-related); and (iii) are anticipatory and contain information regarding future announcements about the credit risk and financial condition of the underlying reference entity. |
| Databáze: |
OpenAIRE |
| Externí odkaz: |
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