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The Journal of finance (New York), ISSN 0022-1082, 2005, Volume 60, Issue 5, pp. 2213 - 2253
We use the information in credit default swaps to obtain direct measures of the size of the default and nondefault components in corporate spreads... 
Corporate bonds | Time series | Liquidity | Credit risk | Yield curves | Business structures | Financial instruments | Corporate liquidity | Credit default swaps | Treasury bonds | BUSINESS, FINANCE | ECONOMICS | MODEL | TERM STRUCTURE | DERIVATIVES
Journal Article
Financial analysts journal, ISSN 1938-3312, 2019, Volume 55, Issue 1, pp. 73 - 87
This review of the pricing of credit swaps, a form of derivative security that can be viewed as default insurance on loans or bonds, begins with a description of the credit swap contract, turns... 
Credit | Investors | Valuation | Market value | Annuities | Credit risk | Repurchase agreement | Financial instruments | Coupons | Credit default swaps | Swap spread | Prices and rates | Loans | Swaps (Finance) | Default (Finance) | Bonds | Pricing policies | Spread | Derivatives
Journal Article
The Journal of economic perspectives, ISSN 0895-3309, 2010, Volume 24, Issue 1, pp. 73 - 92
Journal Article
European financial management : the journal of the European Financial Management Association, ISSN 1354-7798, 2014, Volume 20, Issue 4, pp. 677 - 713
We compare the five major sources of corporate Credit Default Swap prices: GFI, Fenics, Reuters, CMA, and Markit, using the most liquid single name 5... 
credit default swap prices | databases | liquidity | Liquidity | Credit default swap prices | Databases | MARKET | DIVERSIFICATION | COMPUSTAT | CONTAGION | RISK | SPREADS | BUSINESS, FINANCE | CRSP | ERROR RATES | MODELS | EQUITY | Analysis | Credit default swaps | Studies | Stock prices | Financial management | Securities analysis | Return on investment
Journal Article
Foundations and Trends in Finance, ISSN 1567-2395, 2014, Volume 9, Issue 1-2, pp. 1 - 196
Journal Article
European financial management : the journal of the European Financial Management Association, ISSN 1468-036X, 2009, Volume 15, Issue 3, pp. 529 - 562
Journal Article
European journal of operational research, ISSN 0377-2217, 2018, Volume 269, Issue 3, pp. 1137 - 1153
•We employ copulas to measure liquidity tail risk in credit default swap spreads... 
Liquidity tail beta | Copula | Liquidity risk | Finance | Credit default swaps | Swaps (Finance) | Forecasts and trends | Financial markets | Analysis | Financial risk
Journal Article
Journal of banking & finance, ISSN 0378-4266, 2008, Volume 32, Issue 6, pp. 1008 - 1021
Credit default swap (CDS) spreads display pronounced regime specific behaviour. A Markov switching model of the determinants of changes in the iTraxx Europe... 
CDS | C13 | Credit spread | Markov switching | G12 | Hedging | iTraxx | Credit default swap | BUSINESS-CYCLE | SERIES | SECURITIES | PREMIUMS | MARKETS | credit default swap | RISK | credit spread | hedging | BUSINESS, FINANCE | TERM STRUCTURE | BONDS | MARKOV MODEL | INTEREST-RATES | ECONOMICS
Journal Article
Annals of operations research, ISSN 1572-9338, 2015, Volume 247, Issue 2, pp. 523 - 547
...) credit default swaps (CDS). We model contingent cash flows resulting from CDS and other OTC derivatives by a multi-layered network with a core-periphery structure, which is flexible enough to reproduce the gross and net... 
Business and Management | Financial stability | Theory of Computation | Systemic risk | Operation Research/Decision Theory | Combinatorics | Financial networks | Multi-layered network | Credit default swaps | Intermediation chains | Financial crisis | OPERATIONS RESEARCH & MANAGEMENT SCIENCE | Credit | Management | Risk management | Methods | Clearing | Networks | Multilayers | Heterogeneity | Risk | Exposure | Derivatives | Calibration
Journal Article
The Journal of finance (New York), ISSN 0022-1082, 2/2011, Volume 66, Issue 1, pp. 203 - 240
.... We estimate this model for the credit default swap market. We find strong evidence for an expected liquidity premium earned by the credit protection seller... 
Risk aversion | Investors | Corporate bonds | Expected returns | Liquidity | Hedging | Credit risk | Liquidity risk | Transaction costs | Credit default swaps | BUSINESS, FINANCE | EXPECTED RETURNS | YIELD SPREADS | COMMONALITY | ECONOMICS | ILLIQUIDITY | OPTIONS | Liquidity (Finance) | derivatives | pricing | default risk
Journal Article
The Review of financial studies, ISSN 1465-7368, 2014, Volume 27, Issue 10, pp. 2927 - 2960
We use credit default swaps (CDS) trading data to demonstrate that the credit risk of reference firms, reflected in rating downgrades and bankruptcies, increases significantly upon the inception of CDS trading, a finding... 
Creditors | Bank credit | Bank loans | Lenders | Credit ratings | Credit risk | Modeling | Bankruptcy | Credit default swaps | Contracts | G33 | G32 | BUSINESS, FINANCE | IMPACT | INVESTMENT | ECONOMICS | MODEL | DEBT | DERIVATIVES | FIRM
Journal Article
Scientific Reports, ISSN 2045-2322, 11/2014, Volume 4, Issue 1, p. 6822
Credit Default Swaps (CDS) spreads should reflect default risk of the underlying corporate debt... 
CONTAGION | MULTIDISCIPLINARY SCIENCES | Time series | Financial institutions | Bond issues | International finance | Default | Credit default swaps | Investment bankers
Journal Article
International journal of theoretical and applied finance, ISSN 0219-0249, 06/2019, Volume 22, Issue 4
Credit default swaps (CDS) on a reference entity may be traded in multiple currencies, in that, protection upon default may be offered either in the currency where the entity resides, or in a more liquid and global foreign currency... 
Fluctuations | Markets | Devaluation | Dependency | International finance | Credit default swaps | Money | Basis | Debt crisis | Credit | Discrepancies | Currency | Foreign exchange
Journal Article
Quantitative finance, ISSN 1469-7696, 2019, Volume 19, Issue 10, pp. 1705 - 1726
.... An extraction of default factors from cross-sectional credit default swap (CDS) curves allows us to analyze the shape and the dynamics of default probabilities... 
Variance decomposition | CDS | Risk management | Default risk | Network | BUSINESS, FINANCE | MATHEMATICS, INTERDISCIPLINARY APPLICATIONS | TERM STRUCTURE | DETERMINANTS | RISK | SOCIAL SCIENCES, MATHEMATICAL METHODS | ECONOMICS
Journal Article
Journal of financial economics, ISSN 0304-405X, 2013, Volume 107, Issue 1, pp. 25 - 45
.... The bank can transfer credit risk by either selling the loan or buying a credit default swap (CDS... 
Control rights | Loan sales | Credit risk | Credit default swaps | G21 | G32 | G28 | LIQUIDITY | REPUTATION | PRICE | BUSINESS, FINANCE | SHAREHOLDER ACTIVISM | BANKS | ECONOMICS | OWNERSHIP | DERIVATIVES | INSIDERS | Economic policy | Layoffs | Bank loans | Banks (Finance)
Journal Article
Engineering applications of artificial intelligence, ISSN 0952-1976, 2017, Volume 65, pp. 465 - 470
After 2007–2008 crisis, it is clear that corporate credit scoring is becoming a key role in credit risk management. In this paper, we investigate the... 
Deep learning | CDS | Credit scoring | Machine learning | SUPPORT VECTOR MACHINES | ENGINEERING, MULTIDISCIPLINARY | CLASSIFICATION | AUTOMATION & CONTROL SYSTEMS | COMPUTER SCIENCE, ARTIFICIAL INTELLIGENCE | ENGINEERING, ELECTRICAL & ELECTRONIC | Data mining | Analysis | Credit default swaps | Credit ratings | Algorithms
Journal Article
The Review of financial studies, ISSN 1465-7368, 2013, Volume 26, Issue 5, pp. 1190 - 1247
Journal Article