The credit default swap (CDS) remains an important class of derivatives contract despite the
declining activity in the single-name corporate market. I provide a quick introduction to the …

We establish key stylized facts about the post-crisis evolution of trading and pricing of credit
default swaps. Using supervisory contract-level data, we document that dealers become net …

In the presence of recovery risk, the recovery rate is a random variable whose risk-neutral
expectation can be inferred from the prices of defaultable instruments. I extract market …

We present a model for CVA calculation in which the recovery rate is inferred from the term
structure of CDS spreads. The negative relation between recovery rates and default …

Die Finanzmärkte stehen spätestens seit dem russischen Angriff auf die Ukraine ganz im
Zeichen inflationärer Tendenzen. Vor allem die Reaktionen der Zentralbanken führen nun …

Investing into a bond and at the same time buying CDS protection on the same bond is
known as buying a basis package. Loosely speaking, if the bond pays more than the CDS …

Assuming the absence of arbitrage in a single-name credit risk model, it is shown how to
replicate the risk-free bank account until a credit event by a static portfolio of a bond and …

Credit default swaps (CDSs) are the primary type of derivatives contracts with which market
participants can protect themselves against the risk of a default by one or more underlying …

Das Buch vermittelt erst ein grundlegendes Verständnis für Entwicklung, Funktionsweise
und regulatorisches Umfeld von Credit Default Swaps (CDS). Anschließend werden die …

Single-name credit default swaps (“CDSs”) are financial instruments that facilitate the
transfer of credit risk on a defined universe of debt securities issued by an underlying …