Credit Contagion from Counterparty Risk

By Philippe Jorion, Gaiyan Zhang. 2009

443 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/74beb8bc58aa69942b5d635878531559d7990216

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Citations in the corpus

Credit Market Disruptions and Liquidity Spillover Effects in the Supply Chain (2020, unknown): “Prior literature suggests that buyer-supplier exposures can lead to credit contagion (e.g., Kiyotaki and Moore 1997; Jorion and Zhang 2009; Jacobson and von Schedvin 2015).”
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).”
Correlation in Corporate Defaults: Contagion or Conditional Independence? (2010, unknown): “Note that our focus in this paper is not on ’informational’ contagion in prices on equity, corporate bonds or credit default swap premia as studied for example by Collin-Dufresne, Goldstein, and Helwege (2003) and Jorion and Zhang (2008).”
Credit Default Swaps: A Survey (2014, background): “Junge and Trolle [2013] also focus on liquidity risk in CDS markets and they define it as the covariation between CDS returns and market-wide liquidity. To investigate whether liquidity risk is priced in the cross-section of single-name CDS, they develop a factor pricing model using returns and expe”
Does the Tail Wag the Dog? The Effect of Credit Default Swaps on Credit Risk (2012, unknown): “We then show that the results are robust to controlling for the endogeneity of CDS trading, whereby firms may be selected for such trading due to the potential deterioration in their credit quality.”
Financial Crises: Theory and Evidence (2009, background): “In a related paper, Kahn and Santos (2008) investigate whether banks choose the optimal degree of mutual insurance against liquidity shocks.”