Download or read book Credit Default Swaps Around the World written by Söhnke M. Bartram and published by . This book was released on 2021 with total page 64 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm. Our structural model predicts that CDS introduction increases debt capacity more when uncertainty about the credit events that trigger CDS payment is lower. Using a sample of more than 56,000 firms across 51 countries, we find that CDS increase leverage more in legal and market environments where uncertainty regarding CDS obligations is reduced and when property rights are weaker. Our results highlight the importance of legal uncertainty surrounding the interpretation of the underlying trigger events of global credit derivatives.
Download or read book Credit Default Swaps Around the World written by Söhnke M. Bartram and published by . This book was released on 2019 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the impact of the introduction of credit default swaps (CDS) on real decision making within the firm, taking into consideration differences in firms' local economic and legal environments. We extend the model of Bolton and Oehmke (2011) to take into account uncertainty whether the actions taken by the reference entity will trigger credit events for the CDS obligations. We test the predictions of the model in a sample of more than 56,000 firms across 50 countries over the period 2001-2015 and find substantial evidence that the introduction of CDS affects real decisions within the firm, including those regarding leverage, investment, and the riskiness of the firm's investments. Importantly, we find that the legal and market environments in which the reference entity operates have an influence on the impact of CDS. The effect of CDS is larger in environments where uncertainty regarding CDS obligations is reduced and where CDS mitigate weak property rights. Our results shed light on the incomplete nature of CDS contracts in international capital markets, related to significant legal uncertainty surrounding the interpretation of underlying credit events.
Download or read book Credit Default Swap Markets in the Global Economy written by Go Tamakoshi and published by Routledge. This book was released on 2018-01-19 with total page 170 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.
Download or read book Credit Default Swaps written by Marti Subrahmanyam and published by Now Publishers. This book was released on 2014-12-19 with total page 150 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
Download or read book Credit Default Swap written by Gracia S. Ugut and published by Penerbit NEM. This book was released on 2024-04-15 with total page 201 pages. Available in PDF, EPUB and Kindle. Book excerpt: Credit default swaps and credit derivatives in general are one of the many specialized derivatives that are used for the purpose of hedging, speculation and arbitrage. The primary purpose of a credit derivative or the need behind the creation of such a product is to serve as a credit risk transfer mechanism. Credit risk is one of the four broadly classified types of risks (others being operational risk, market risk and liquidity risk) is the possibility of a loss resulting from a borrower’s failure to repay a loan or meet contractual obligations. Credit Default Swaps and Credit Derivatives gained popularity in the pre and during Global Financial Crisis in 2008. It has earned a bad reputation since then as it is perceived as one of the most dangerous financial derivatives. The decline in trading volume of emerging market sovereign CDS in the years since the 2008 global financial crisis, along with the steady rise in volume of emerging-market-bond ETFs, might have contributed to this increase in the relative efficiency of bond-price discovery. Credit-Default Swaps (CDS) were generally a better source of price discovery than spreads computed from bond prices. Credit-Default Swaps (CDS) tended to be a better measure of value compared to spreads computed from bonds, which may have been traded infrequently. However, since the COVID-19 crisis, the cash bond market appears to have made strong inroads as the better source for investors to compare relative value and risk.
Download or read book Collateralized Debt Obligations written by Douglas J. Lucas and published by John Wiley & Sons. This book was released on 2006-08-04 with total page 528 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since first edition's publication, the CDO market has seen tremendous growth. As of 2005, $1.1 trillion of CDOs were outstanding -- making them the fastest-growing investment vehicle of the last decade. To help you keep up with this expanding market and its various instruments, Douglas Lucas, Laurie Goodman, and Frank Fabozzi have collaborated to bring you this fully revised and up-to-date new edition of Collateralized Debt Obligations. Written in a clear and accessible style, this valuable resource provides critical information regarding the evolving nature of the CDO market. You'll find in-depth insights gleaned from years of investment and credit experience as well as the examination of a wide range of issues, including cash CDOs, loans and CLOs, structured finance CDOs and collateral review, emerging market and market value CDOs, and synthetic CDOs. Use this book as your guide and take advantage of this dynamic market and its products.
Download or read book The World Scientific Handbook of Futures Markets written by Anastasios G. E. T. Al MALLIARIS and published by World Scientific. This book was released on 2015-08-06 with total page 844 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The World Scientific Handbook of Futures Markets serves as a definitive source for comprehensive and accessible information in futures markets. The emphasis is on the unique characteristics of futures markets that make them worthy of a special volume. In our judgment, futures markets are currently undergoing remarkable changes as trading is shifting from open outcry to electronic and as the traditional functions of hedging and speculation are extended to include futures as an alternative investment vehicle in traditional portfolios. The unique feature of this volume is the selection of five classic papers that lay the foundations of the futures markets and the invitation to the leading academics who do work in the area to write critical surveys in a dozen important topics."--$cProvided by publisher.
Download or read book Handbook Of Financial Econometrics Mathematics Statistics And Machine Learning In 4 Volumes written by Cheng Few Lee and published by World Scientific. This book was released on 2020-07-30 with total page 5053 pages. Available in PDF, EPUB and Kindle. Book excerpt: This four-volume handbook covers important concepts and tools used in the fields of financial econometrics, mathematics, statistics, and machine learning. Econometric methods have been applied in asset pricing, corporate finance, international finance, options and futures, risk management, and in stress testing for financial institutions. This handbook discusses a variety of econometric methods, including single equation multiple regression, simultaneous equation regression, and panel data analysis, among others. It also covers statistical distributions, such as the binomial and log normal distributions, in light of their applications to portfolio theory and asset management in addition to their use in research regarding options and futures contracts.In both theory and methodology, we need to rely upon mathematics, which includes linear algebra, geometry, differential equations, Stochastic differential equation (Ito calculus), optimization, constrained optimization, and others. These forms of mathematics have been used to derive capital market line, security market line (capital asset pricing model), option pricing model, portfolio analysis, and others.In recent times, an increased importance has been given to computer technology in financial research. Different computer languages and programming techniques are important tools for empirical research in finance. Hence, simulation, machine learning, big data, and financial payments are explored in this handbook.Led by Distinguished Professor Cheng Few Lee from Rutgers University, this multi-volume work integrates theoretical, methodological, and practical issues based on his years of academic and industry experience.
Download or read book The Credit Default Swap Basis written by Moorad Choudhry and published by Bloomberg Press. This book was released on 2027-06-22 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: An up-to-date resource on the intricacies of the credit default swap basis While credit default swaps and credit derivatives are of great concern to many in the field of finance, the Second Edition of The Credit Default Swap Basis does not directly focus on these issues. It is instead about an aspect of CDS behavior, the basis, which is of importance to all users of CDS products. An understanding of the basis is essential to anyone involved in the credit-risky debt capital markets, whether you're an investor, trader, or broker. The credit default swap basis (the basis) defines the relationship between the cash and synthetic credit markets. Finance professionals need to understand the drivers of the basis in order to better undertake investment and value analysis, and for trading purposes. In this updated Second Edition, author Moorad Choudhry, a market practitioner who has published widely in the field of credit derivatives, explores this dynamic discipline and examines the structural changes in the CDS market, including new settlement mechanisms and contract standardization. Along the way, he describes how basis pricing has changed in the aftermath of the financial crisis and what that change means in regard to overall market and trading opportunities. The only book on basis issues of credit default swaps, it provides practitioners with vital information on valuation, credit risk assessment, and basis trading strategies Addresses structural changes to the market, including the introduction of central clearing houses in the U.S. and Europe and standardization of contracts to reduce disputes about payout settlements Covers the close relationship between the synthetic and cash markets in credit, which manifests itself in the credit default swap basis The Credit Default Swap Basis, Second Edition offers invaluable market insights to all financial professionals seeking a deeper understanding of credit derivatives and fixed income securities.
Download or read book Do Major Financial Crises Provide Information on Sovereign Risk to the Rest of the World A Look at Credit Default Swap Markets written by Didier Cossin and published by . This book was released on 2005 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial innovations of the late 1990s have led to the emergence of a significant number of new instruments, in particular in the market for hedging credit risk. This paper, based on an original dataset of transactions and quotes, looks at credit default swaps drawn on sovereign countries. The study of the credit default swap market around major financial crises leads to several results: Markets' consideration of ratings around the world changes dramatically after major financial crises, even for those countries that are not in crisis. While ratings seem suddenly to matter more, pricing uncertainty increases as well. Thus large financial crises appear to create strong information uncertainty, rather than resolve previous uncertainty. After a major crisis event, there is significant 'flight-to-quality' that is accompanied by a strong relative rise of demand for sovereign credit protection. We also document the extra-significance of transaction data compared to quote data in an OTC market. Overall, sovereign ratings appear to be the pricing tool of last resort when crises disturb markets.
Download or read book A Market for End of The World Insurance Credit Default Swaps on US Government Debt written by Richard Squire and published by . This book was released on 2013 with total page 22 pages. Available in PDF, EPUB and Kindle. Book excerpt: The market for credit default swaps (CDS) on US government debt is remarkably thin. Relative to the amount of reference debt, the market for CDS on USA is an order of magnitude smaller than the markets for CDS on other high-grade government borrowers, such as Germany and the UK. A common theory for the thinness of the US market is counterparty risk, but this explanation is difficult to reconcile with the privileged position that derivatives counterparties enjoy under US insolvency law. Moreover, the strong correlation between the insolvency risks of the US Treasury and of many financial firms means that sales of CDS on USA could be used opportunistically to transfer expected value from a protection seller's general creditors to its shareholders. While there is no evidence that such correlation-seeking is yet occurring, regulators should not disregard the hazard, which if realized could distort CDS prices and exacerbate the systemic damage caused by a US debt restructuring.
Download or read book Infectious Greed written by Frank Partnoy and published by Times Books. This book was released on 2014-06-03 with total page 644 pages. Available in PDF, EPUB and Kindle. Book excerpt: From the bestselling author of F.I.A.S.C.O., a riveting chronicle of the rise of dangerous financial instruments and the growing crisis in American business One by one, major corporations such as Enron, Global Crossing, and Worldcom imploded all around us, prey to a greed-driven culture and dubious or illegal corporate finance and accounting. In a compelling and disturbing narrative, Frank Partnoy's Infectious Greed brings to bear all of his skills and experience as a securities attorney, financial analyst, law professor, and bestselling author to tell the story of the rise of the trading instruments and corporate financial structures that imperil the economic health of the country. Starting in the mid-1980s with the introduction of the first proto-derivatives, and taking us through such high-profile disasters as Barings Bank and Long Term Capital Management, Partnoy traces a seamless progression to today's dangerous manipulations. He documents how each new level of financial risk and complexity obscured the sickness of the company in question, and required ever more ingenious deceptions. It's an alarming story, but Partnoy offers a clear vision of how we can step back from the precipice.
Download or read book Chinese Yuan Renminbi Derivative Products written by Peter G. Zhang and published by World Scientific. This book was released on 2004 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: Since late 2002 there have been many disputes and discussions around the world on whether or not the Chinese yuan (CNY), or renminbi (RMB), should be revalued. Based on various arguments and discussions, the CNY has been expected to be revalued worldwide, as evidenced by the significant premiums for the CNY non-deliverable forwards in the offshore marketplace. With the CNY revaluation perspectives, hundreds of billions of US dollars have been invested in various types of CNY-related derivatives products. The purpose of this book is not to tell the reader whether the RMB should be revalued, or by how much it should be revalued, as these questions are the work of economists. Instead, as a derivatives specialist with more than te years' experience in the international financial market and with working experience in China in the past few years, the author presents trading of CNY-related derivatives products in the offshore marketplace. The book is organized into five parts. The first part familiarizes readers with the Chinese economy in transition and the Chinese financial market, so that they can make their own judgment as to whether or not the CNY should be revalued. Part II presents major foreign exchange derivatives trading in organized exchanges and the over-the-counter marketplace around the world. Part III reviews what foreign exchange products were involved both before and during the Asian financial crisis, because many of them were used to speculate or hedge against devaluations of the Asian currencies. Part IV studies various CNY-related derivatives products and embedded derivatives products. Finally, Part V examines the possible impacts of these derivatives products on the CNYexchange rate, based on the experiences of other currencies such as the Korean won and the New Taiwan dollar.
Download or read book Credit Derivatives written by Mark J. P. Anson and published by John Wiley & Sons. This book was released on 2004-02-01 with total page 353 pages. Available in PDF, EPUB and Kindle. Book excerpt: An essential guide to credit derivatives Credit derivatives has become one of the fastest-growing areas of interest in global derivatives and risk management. Credit Derivatives takes the reader through an in-depth explanation of an investment tool that has been increasingly used to manage credit risk in banking and capital markets. Anson discusses everything from the basics of why credit risk is important to accounting and tax implications of credit derivatives. Key topics covered in this essential guidebook include: credit swaps; credit forwards; credit linked notes; and credit derivative pricing models. Anson also discusses the implications of credit risk management as well as credit derivative regulation. Using charts, examples, basic investment theory, and elementary mathematics, Credit Derivatives illustrates the real-world practice and applications of credit derivatives products. Mark J. P. Anson (Sacramento, CA) is the Chief Investment Officer at Calpers. Frank J. Fabozzi (New Hope, PA) is a Fellow of the International Center for Finance at Yale University. Moorad Choudhry (Surrey, UK) is a Vice President in Structured Finance Services with JP Morgan Chase Bank in London. Ren-Raw Chen is an Assistant and Associate Professor at the Rutgers University Faculty of Management.
Download or read book Global Waves of Debt written by M. Ayhan Kose and published by World Bank Publications. This book was released on 2021-03-03 with total page 403 pages. Available in PDF, EPUB and Kindle. Book excerpt: The global economy has experienced four waves of rapid debt accumulation over the past 50 years. The first three debt waves ended with financial crises in many emerging market and developing economies. During the current wave, which started in 2010, the increase in debt in these economies has already been larger, faster, and broader-based than in the previous three waves. Current low interest rates mitigate some of the risks associated with high debt. However, emerging market and developing economies are also confronted by weak growth prospects, mounting vulnerabilities, and elevated global risks. A menu of policy options is available to reduce the likelihood that the current debt wave will end in crisis and, if crises do take place, will alleviate their impact.
Download or read book Global Financial Stability Report April 2013 written by International Monetary Fund. Monetary and Capital Markets Department and published by International Monetary Fund. This book was released on 2013-04-17 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Global Financial Stability Report examines current risks facing the global financial system and policy actions that may mitigate these. It analyzes the key challenges facing financial and nonfinancial firms as they continue to repair their balance sheets. Chapter 2 takes a closer look at whether sovereign credit default swaps markets are good indicators of sovereign credit risk. Chapter 3 examines unconventional monetary policy in some depth, including the policies pursued by the Federal Reserve, the Bank of England, the Bank of Japan, the European Central Bank, and the U.S. Federal Reserve.
Download or read book Fool s Gold written by Gillian Tett and published by Simon and Schuster. This book was released on 2009-05-12 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt: From award-winning Financial Times journalist Gillian Tett, who enraged Wall Street leaders with her news-breaking warnings of a crisis more than a year ahead of the curve, Fool’s Gold tells the astonishing unknown story at the heart of the 2008 meltdown. Drawing on exclusive access to J.P. Morgan CEO Jamie Dimon and a tightly bonded team of bankers known on Wall Street as the “Morgan Mafia,” as well as in-depth interviews with dozens of other key players, including Treasury Secretary Timothy Geithner, Tett brings to life in gripping detail how the Morgan team’s bold ideas for a whole new kind of financial alchemy helped to ignite a revolution in banking, and how that revolution escalated wildly out of control. The deeply reported and lively narrative takes readers behind the scenes, to the inner sanctums of elite finance and to the secretive reaches of what came to be known as the “shadow banking” world. The story begins with the intense Morgan brainstorming session in 1994 beside a pool in Boca Raton, where the team cooked up a dazzling new idea for the exotic financial product known as credit derivatives. That idea would rip around the banking world, catapult Morgan to the top of the turbocharged derivatives trade, and fuel an extraordinary banking boom that seemed to have unleashed banks from ages-old constraints of risk. But when the Morgan team’s derivatives dream collided with the housing boom, and was perverted—through hubris, delusion, and sheer greed—by titans of banking that included Citigroup, UBS, Deutsche Bank, and the thundering herd at Merrill Lynch—even as J.P. Morgan itself stayed well away from the risky concoctions others were peddling—catastrophe followed. Tett’s access to Dimon and the J.P. Morgan leaders who so skillfully steered their bank away from the wild excesses of others sheds invaluable light not only on the untold story of how they engineered their bank’s escape from carnage but also on how possible it was for the larger banking world, regulators, and rating agencies to have spotted, and heeded, the terrible risks of a meltdown. A tale of blistering brilliance and willfully blind ambition, Fool’s Gold is both a rare journey deep inside the arcane and wildly competitive world of high finance and a vital contribution to understanding how the worst economic crisis since the Great Depression was perpetrated.
