Credit default swap (CDS)
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
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Arbitrageurs have exited trades, leaving basis structurally higher
Abstract This paper studies the predictive power of the time-varying shape of the credit default swap (CDS) term structure to explain changes in future implied and excess implied volatility (implied volatility...
Managed deals could be next, but market's potential is expected to be limited
ABSTRACT Based on an empirical analysis of European corporations, we investigate the impact of sovereign risk on the pricing of corporate credit risk. In our paper, we show that sovereign credit default...
Nearly 2.5% of single-name CDS market changed hands in trade last September
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