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Why is Price Discovery in Credit Default Swap Markets News-Specific?
Marsch, I. / Wagner, W.B.
credit derivatives / credit marketsResource overview

Why is Price Discovery in Credit Default Swap Markets News-Specific?

Paper2012

by Marsch, I., Wagner, W.B.

Tags
credit derivativescredit marketsequity markets

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Suggested foundations for credit and counterparty risk and asset pricing and factor research. Specialist prerequisites vary by paper.

Before you read

  1. Credit Instruments, PD/LGD/EAD, and Rating Migration

    Separate default probability, loss severity and exposure.

  2. Conditional Expectation

    Read conditional default and exposure quantities.

  3. Linear Regression

    Interpret exposures, residuals and uncertainty in fitted coefficients.

  4. Financial Return Characteristics

    Work with returns and recognise their empirical limitations.

Go further

  1. Threshold Models and the Gaussian Copula for Portfolio Default

    Study dependence between defaults.

  2. CVA and DVA

    Connect exposure and counterparty losses to valuation adjustments.

  3. Factor construction

    Connect factor definitions to portfolio construction.

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Lesson links open public previews. Access to full lessons depends on the topic and your membership.

Explore Counterparty Credit Risk and CVA Explore Empirical Asset Pricing and Factor Investing

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