检索结果-南通市图书馆

How do“gatekeepers”affect credit risk?

Journal of Management Science and Engineering 2021年第3期6卷 295-311页

作者： Xu Li Xingtong Zhang Yinggang Zhou Faculty of Business and Economics University of Hong KongHong KongBeijing100872China School of Finance Renmin University of ChinaBeijing100872China Center for Macroeconomic Research&Department of Finance at School of Economics and Wang Yanan Institute for Studies in EconomicsXiamen UniversityXiamen361005China

This study investigates the relationship between auditor tenure and credit default swap(CDS)spreads of *** based on quantile *** allowing for common determinants of CDS spreads,auditor tenure exerts both statistically and economically significant additional impacts on the CDS ***,there are differential effects of common CDS spread determinants and auditor *** common determinants of CDS spreads(e.g.,leverage,volatility,risk free rate,credit ratings,and earnings)have monotonically increasing impacts when CDS spreads(and their changes)are increasingly higher,auditor tenure primarily has the impact when CDS spreads are of low or median levels for less risky firms.

关键词： credit default swaps Auditor tenure Information Quantile regression

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Risk-Neutral Dynamic of Forward-Looking default Probabilities and Recovery Rates： Evidence From credit default Swap Prices of DOW30 Companies

引用

Chinese Business Review 2011年第10期10卷 811-843页

作者： Chavalit Kitjakarnlertudom Sira Suchintabandid Chulalongkom University Bangkok Thailand

In modem financial markets, the credit default swap （CDS） market has supplanted the bond market as the industry gauge for a borrower＇s credit quality. Therefore, it is very important to value CDS accurately by getting closer to more realistic pricing models. So far there have been no models for extracting forward-looking credit information to value CDS. In current practice, historical data is used in a credit default swap pricing model. One of the reasons was the difficulty when the market for credit derivatives was small, to extract forward-looking credit information such as recovery rates and default probabilities from traded securities. Since the CDS market has undergone rapid expansion in recent years, the possibilities of extracting forward-looking credit information have increased. Our work significantly extends Das and Hanouma （2009） where a flexible jump-to-default model was introduced to obtain implied recovery rates. We improve the flexible jump-to-default model where forecasted forward-looking hazard rates and recovery rates can be extracted using stock prices, stock volatilities and data from credit default markets to forecast CDS spreads. Instead of using exogenously assumed constant recovery rates and default probabilities from a credit rating agency, we use forward-looking hazard rates and recovery rates to price and forecast CDS spreads. We also compare out-of-sample market CDS spreads with our forecasted CDS spreads to check how well our model performs. Our model fit the market CDS spreads very well across all time to maturity CDS contracts except in some extreme cases when there is a big jump in CDS spreads.

关键词： financial derivatives derivatives pricing credit default swaps

来源：

维普期刊数据库评论

在线全文

维普期刊数据库

学校读者我要写书评

暂无评论

Insuring,Hedging and Trading credit Risks in Financial Macroeconomics

Insuring,Hedging and Trading Credit Risks in Financial Macro...

引用

2012 International Conference on Innovation,Trade and Economics(ICITE 2012)

作者： Roxana Angela Calistru Alexandru Trifu "Petre Andrei" University of Iasi Romania

The purpose of this paper is to explore how the tools we have available for facing credit risks respond to the necessity of the entities *** will review the classical way to face credit risks,preferred by the companies affected by the commercial credit risks - the credit *** well,we will make an analysis of the newest way to encounter the credit risks,that fits better the financial entities needs - credit *** of the CDS market have played an important role in the credit risk markets before and during the current financial crisis,so we assign a generous space in the paper for analyzing the strengths of CDS derivatives,as hedging or trading *** method used is that of analyzing in parallel the major macro-financial domains involving *** the insurances,these ones are linked to international trade and evolution on the global markets and depending on the changeable conditions in different levels of real *** volatiles are the derivatives and represent one of the main features of the financial *** results of our study show the fact that both instruments have to be taken into account by economic agents,in order to ensure theirs development and sustainability and,on the other hand,by a prudential financial and monetary policies,the economic welfare and global functioning of economies can be reached.

关键词： credit risks insurance derivatives credit default swaps

来源： cnki会议评论

在线全文

cnki会议

学校读者我要写书评

暂无评论

欢迎您,

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

在线全文

请选择保存的检索档案：

请选择收藏分类：

通借通还

欢迎您,

建议与咨询 留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

时间限定

文献类型

馆藏选择

核心期刊

语言

文献类型

帮助

文字说明：

检索规则说明：

检索范例：

分类表

所选分类

限定检索结果

文献类型

馆藏范围

日期分布

学科分类号

主题

机构

作者

语言

在线全文

在线全文

在线全文

请选择保存的检索档案： 新增检索档案 确定 取消

请选择收藏分类： 新增自定义分类 确定 取消

通借通还

建议与咨询留下您的常用邮箱和电话号码，以便我们向您反馈解决方案和替代方法

请选择保存的检索档案：

请选择收藏分类：