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Decisions in Economics and Finance
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Endogenous trading in credit default swaps

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type 12 Sep 2015Embargo end date: 01 Apr 2016 English Publisher:Springer Science and Business Media LLCJournal:Decisions in Economics and Finance, volume 39, pages 1-31 (issn: 1593-8883, eissn: 1129-6569, Copyright policy )
Authors: Chesney, Marc; Coculescu, Delia; Gokay, Selim;

doi: 10.1007/s10203-015-0168-7 , 10.5167/uzh-124434

Endogenous trading in credit default swaps

Abstract

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Keywords

2000 General Economics, Econometrics and Finance, default risk, Stopping times; optimal stopping problems; gambling theory, real options, 10003 Department of Finance, optimal stopping problems, CDS, 330 Economics, switching option, moral hazard, Derivative securities (option pricing, hedging, etc.), 2003 Finance, Longstaff-Schwarz algorithm, Corporate finance (dividends, real options, etc.)

  • BIP!
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    selected citations
    These citations are derived from selected sources.
    This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 1
    popularity
    This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
    		 Average
    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
    		 Average
    impulse
    This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
    		 Average
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
1
Average
Average
Average
bronze