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Credit Derivatives and Loan Pricing

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  • Norden, L.
  • Wagner, W.B.

    (Tilburg University, School of Economics and Management)

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Suggested Citation

  • Norden, L. & Wagner, W.B., 2007. "Credit Derivatives and Loan Pricing," Other publications TiSEM eb6693d1-7ce6-485f-80cb-5, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:eb6693d1-7ce6-485f-80cb-5b87721ff517
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    File URL: https://pure.uvt.nl/ws/portalfiles/portal/843425/2007-015.pdf
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    References listed on IDEAS

    as
    1. Francis A. Longstaff & Sanjay Mithal & Eric Neis, 2005. "Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market," Journal of Finance, American Finance Association, vol. 60(5), pages 2213-2253, October.
    2. Houweling, Patrick & Vorst, Ton, 2005. "Pricing default swaps: Empirical evidence," Journal of International Money and Finance, Elsevier, vol. 24(8), pages 1200-1225, December.
    3. Goderis, B.V.G. & Marsh, I. & Vall Castello, J. & Wagner, W.B., 2006. "Bank Behavior with Access to Credit Risk Transfer Markets," Other publications TiSEM 75d3b9f4-be84-499d-b1a3-8, Tilburg University, School of Economics and Management.
    4. James, Christopher, 1987. "Some evidence on the uniqueness of bank loans," Journal of Financial Economics, Elsevier, vol. 19(2), pages 217-235, December.
    5. Alan D. Morrison, 2005. "Credit Derivatives, Disintermediation, and Investment Decisions," The Journal of Business, University of Chicago Press, vol. 78(2), pages 621-648, March.
    6. repec:zbw:bofrdp:2006_031 is not listed on IDEAS
    7. Edwin J. Elton & Martin J. Gruber & Deepak Agrawal & Christopher Mann, 2001. "Explaining the Rate Spread on Corporate Bonds," Journal of Finance, American Finance Association, vol. 56(1), pages 247-277, February.
    8. Acharya, Viral V. & Johnson, Timothy C., 2007. "Insider trading in credit derivatives," Journal of Financial Economics, Elsevier, vol. 84(1), pages 110-141, April.
    9. repec:zbw:bofrdp:2007_004 is not listed on IDEAS
    10. Pierre Collin-Dufresn & Robert S. Goldstein & J. Spencer Martin, 2001. "The Determinants of Credit Spread Changes," Journal of Finance, American Finance Association, vol. 56(6), pages 2177-2207, December.
    11. Mark Carey & Greg Nini, 2007. "Is the Corporate Loan Market Globally Integrated? A Pricing Puzzle," Journal of Finance, American Finance Association, vol. 62(6), pages 2969-3007, December.
    12. Norden, Lars & Weber, Martin, 2004. "Informational efficiency of credit default swap and stock markets: The impact of credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2813-2843, November.
    13. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
    14. Roberto Blanco & Simon Brennan & Ian W. Marsh, 2005. "An Empirical Analysis of the Dynamic Relation between Investment‐Grade Bonds and Credit Default Swaps," Journal of Finance, American Finance Association, vol. 60(5), pages 2255-2281, October.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Ashcraft, Adam B. & Santos, João A.C., 2009. "Has the CDS market lowered the cost of corporate debt?," Journal of Monetary Economics, Elsevier, vol. 56(4), pages 514-523, May.
    2. Paweł Niedziółka, 2009. "Zmienność komponentu upadłościowego marży wskutek zachwiania stabilności finansowej," Gospodarka Narodowa. The Polish Journal of Economics, Warsaw School of Economics, issue 9, pages 67-86.
    3. Ivan T. Ivanov & João A. C. Santos & Thu Vo, 2014. "Tying loan interest rates to borrowers' CDS spreads," Finance and Economics Discussion Series 2014-70, Board of Governors of the Federal Reserve System (U.S.).

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