Explaining credit default swap premia

By C. Benkert. 2004

159 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/1374cf0531af580e218c67c6daea0cbe4ef57d89

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Cristina Vespro
2. J. Annaert
3. P. Roy
4. M. D. Ceuster
5. Jeffrey L. Callen
6. Carol Alexander
7. Joshua Livnat
8. Andreas Kaeck

Citations in the corpus

• The Impact of Earnings on the Pricing of Credit Default Swaps (2007, background): “Except for Benkert (2004), this sample is significantly larger than those of the prior CDS studies referenced above.”
• Regime dependent determinants of credit default swap spreads (2008, background): “interest rates, stock returns and implied volatility each has a significant effect on CDS spreads (Benkert, 2004; Ericsson et al., 2004; Byström, 2005).”
• What Determines Euro Area Bank CDS Spreads (2010, background): “Swap spreads are considered to be an indicator of general banking stability (Denkert, 2004), whereas the AAA-BBB spread reflects the overall credit risk level.”