Restructuring Risk in Credit Default Swaps: An Empirical Analysis

By Antje Berndt, Robert A. Jarrow, ChoongOh Kang. 2007

83 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/2b7c677fe70eecad33d7d12cb0464be3a198120c

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. Iulian Obreja
2. Antje Berndt
3. Juan Ignacio Peña
4. Paolo Colla
5. Mascia Bedendo
6. María Rodríguez-Moreno

Citations in the corpus

• Decomposing European CDS Returns (2010, background): “Boss and Scheicher (2002), Van Landschoot (2004), Annaert et al.”
• Credit Default Swaps and the Empty Creditor Problem (2011, unknown): “…(2009)).15 While it is well-known that the di¤erent treatment of restructuring events a¤ects the pricing of CDS contracts (Packer and Zhu (2005), Berndt, Jarrow, and Kang (2006)), our model shows that whether restructuring quali es as a credit event also has important repercussions on…”