This paper investigates the role of countries' environmental, social and governance (ESG)
performance in sovereign CDS markets. Based on data for 60 countries from 2007 to 2017 …

Convertible bonds are an important segment of the corporate bond market although their
pricing is compromised by the presence of complex option features and difficulty in …

The current expected loss calculations have recently attracted considerable attention in the
research on credit risk modeling, impairment provisioning, and financial networks' stability. A …

Credit default swap (CDS) spreads can only be decomposed into the probability of default
and the loss-given-default by imposing some structure. Employing a hybrid binomial tree for …

Under IFRS accounting standards, there are many situations in which the credit quality of a
counterparty must be estimated. These include, for example, credit value adjustment of …

Merging a sample of 492 merger and acquisition (M&A) announcements from 284 acquiring
firms across Europe and North America with data from 5-year single-name credit default …

We review the empirical academic literature on the informational content of credit default
swap (“CDS”) spreads. Most of this literature posits and empirically documents that CDS …

Ratings in emerging markets can serve as part of the early warning systems to reflect the
weak signals of potential risks to the entity from the environment. Emerging markets have …

This paper empirically investigates determinants of the outstanding net notional amount of
credit default swaps (CDSs) contracts written on banks. We extend and complement the …

This dissertation investigates the effects of the creditor rights and the role of financial
reporting in the debt markets. In Chapter 1, I focus on the impact of creditor rights and the …