Pricing Default Swaps: Empirical Evidence

By P. Houweling, Ton Vorst. 2003

321 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/22a38513dc9945c8a4f97fea3116ac082bcfa2b0

How researchers see this paper

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

In Finance

Citations in the corpus

Stock Options and Credit Default Swaps: A Joint Framework for Valuation and Estimation (2010, background): “Finally, the literature has often found it difficult to separately identify the recovery rate and the default ar- rival rate using credit spread data alone (Houweling and Vorst (2005), Hull and White (2000), and Longstaff, Mithal, and Neis (2005)).”
Regime dependent determinants of credit default swap spreads (2008, background): “…credit derivative market the empirical literature on credit risk has concentrated more on CDS spreads as a measure of credit risk: 6 Additionally Houweling and Vorst (2005) compare market prices of credit default swaps with model prices finding that a simple reduced form model prices credit…”
The Determinants of Credit Default Swap Premia (2009, background): “can be problematic (see Houweling and Vorst (2005)), but also the choice of a framework to remove coupon effects. Another advantage is that default swap spreads may reflect changes in credit risk more accurately and quickly than corporate bond yield spreads. Blanco, Brennan, and Marsh (2003) provide”
The Impact of Earnings on the Pricing of Credit Default Swaps (2007, unknown): “7 In contradistinction to the three earnings-related CDS levels studies surveyed above, we control for restructuring clauses since recent empirical and theoretical work by Packer and Zhu (2005) and Berndt et al.”
Good and bad credit contagion: Evidence from credit default swaps (2007, methodology): “10 Hull et al. (2004) examine whether the CDS market anticipates bond rating changes.”
Exploring the CDS-Bond Basis (2006, unknown): “29 Examples include Crouch and March (2005), Houweling and Vorst (2003), Hull et al. (2004), Longstaff et al. (2003), and Trück et al. (2004).”
What Determines Euro Area Bank CDS Spreads (2010, background): “Houweling & Vorst (2005) demonstrate that the choice of the risk-free reference asset may be problematic.”
Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit-Default Swap Market (2005, unknown): “There are also several recent empirical studies of the pricing of credit default swaps, including Cossin et al. (2002), Zhang (2003), Blanco et al. (2003), Houweling and Vorst (2004), Norden and Weber (2004), Hull, Predescu, and White (2004), and Berndt et al. (2004).”
Has the CDS Market Influenced the Borrowing Cost of European Countries During the Sovereign Crisis (2012, unknown): “Empirically, Houweling and Vorst (2005) and Hull et al. (2004) show that swap rates are closer to the risk free rate used by markets than Treasuries yields.”
How Profitable Is Capital Structure Arbitrage? (2006, unknown): “Hull, Predescu, and White (2004), Longstaff et al. (2003), Houweling and Vorst (2005), and Blanco, Brennan, and Marsh (2005) found a close resemblance between CDS spreads and fixed-rate bond spreads, provided that one selects a proper “risk-free” benchmark interest rate.”