Good and bad credit contagion: Evidence from credit default swaps

By Philippe Jorion, Gaiyan Zhang. 2007

551 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/6a3fcf45cd016f1308000d5e4b04a328a97b1e58

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Citations in the corpus

Affine Point Processes and Portfolio Credit Risk (2010, unknown): “The existence of these feedback phenomena is indicated by the ripple effects associated with the default of Lehman Brothers on September 15, 2008 and is further empirically documented in [4], [11], [17], [24], [27], and others.”
Determinants of stock market comovements among US and emerging economies during the US financial crisis (2013, background): “We include CDS spreads because Jorion and Zhang (2007) show that credit event information is captured in the CDS spread and Bystrom (2005) and Norden and Weber (2009) find that positive stock returns are negatively associated with CDS spread changes.”
Credit Contagion from Counterparty Risk (2009, background): “Jorion and Zhang (2007) report an 11-day return of −0.41% for firms in the same industry as the bankrupt company.”
Financial statement comparability and credit risk (2013, unknown): “In both the theoretical and empirical literatures, there is some controversy regarding whether and under what conditions information uncertainty and asymmetry Prior research suggests that credit spreads in CDS markets are less affected by illiquidity than credit spreads in bond markets (Jorion and Z”
Bankruptcy and the Collateral Channel (2011, background): “Likewise, Hertzel and Officer (2008) and Jorion and Zhang (2007) examine the effect of bankruptcy on competitors’ loan yields and CDS spreads.3 However, identifying a causal link from the financial distress or bankruptcy filings of some players in an industry to their solvent non-bankrupt…”
Are All Credit Default Swap Databases Equal (2013, unknown): “Papers that employ this dataset include: Acharya and Johnson (2007), Zhang, Zhou and Zhu (2009), Jorion and Zhang (2007), Jorion and Zhang (2009), Zhu (2006), Micu et al. (2004), and Cao, Yu, and Zhong (2010).”
The debt market relevance of management earnings forecasts: evidence from before and during the credit crisis (2011, unknown): “More recently, the literature has turned its attention to examining the determinants of the credit default swap spreads (e.g., Jorion and Zhang, 2007; Ericsson, Jacobs and Oviedo, 2009; Zhang, Zhou and Zhu, 2009).”
Pricing Credit from the Top Down with Affine Point Processes (2008, background): “This phenomenon is empirically documented in Collin-Dufresne et al. (2003) and Jorion and Zhang (2006) and exemplified in Figure 2, which shows the impact of Delphi's default and GM's announcement of a huge quarterly loss on the spread of the Dow Jones CDX North America Crossover index swap.”
Spreading the Misery? Sources of Bankruptcy Spillover in the Supply Chain (2016, background): “A number of authors, including Lang and Stulz (1992), Ferris, Jayaraman, and Makhija (1997), Hertzel, Li, Officer, and Rodgers (2008), Jorion and Zhang (2007), (2009), and Helwege and Zhang (2016), have documented “spillover effects” of distress, where bankruptcy at a given firm is associated with n”
Pricing in the Primary Market for Cat Bonds: New Empirical Evidence (2016, unknown): “Even before its formal justification, this method had already been widely applied in high-class credit risk research (see, e.g., Acharya and Johnson, 2007, Jorion and Zhang, 2007, Pan and Singleton, 2008, Zhang et al., 2009).”