Forecasting and trading credit default swap indices using a deep learning model integrating Merton and LSTMs

W Mao, H Zhu, H Wu, Y Lu, H Wang - Expert Systems with Applications, 2023 - Elsevier
Using macroeconomic and financial conditions to forecast credit default swap (CDS)
spreads is a challenging task. In this paper, we propose the Merton-LSTM model, a modified …

Asymmetric determinants of CDS spreads: US industry-level evidence through the NARDL approach

SJH Shahzad, SM Nor, R Ferrer, S Hammoudeh - Economic Modelling, 2017 - Elsevier
This paper investigates the presence of asymmetries in the short-and long-run relationships
between the 5-year CDS index spreads at the US industry level and a set of major …

Credit default swap spreads as viable substitutes for credit ratings

MJ Flannery, JF Houston, F Partnoy - U. Pa. L. Rev., 2009 - HeinOnline
In response to the recent financial crisis, commentators have criticized certain credit rating
agencies, known as Nationally Recognized Statistical Rating Organizations (NRSROs),'and …

Do corporate social responsibility ratings affect credit default swap spreads?

D Drago, C Carnevale, R Gallo - … Social Responsibility and …, 2019 - Wiley Online Library
We examine the impact of a corporate social responsibility (CSR) rating announcement on
the credit default swap (CDS) spreads of European firms. Our results indicate that a CSR …

Does economic policy uncertainty drive CDS spreads?

TP Wisniewski, BJ Lambe - International Review of Financial Analysis, 2015 - Elsevier
This study analyzes the dynamic interactions between changes in economic policy
uncertainty and the fluctuations in the cost of credit protection. We find that the differenced …

Credit risk interdependence in global financial markets: evidence from three regions using multiple and partial wavelet approaches

SY Choi - Journal of International Financial Markets, Institutions …, 2022 - Elsevier
Credit risk linkage has primarily been examined from the lens of developed country markets
and using volatility index. In this paper, we investigate the interconnectedness and causality …

Long-run relationships between US financial credit markets and risk factors: evidence from the quantile ARDL approach

W Mensi, SJH Shahzad, S Hammoudeh, B Hkiri… - Finance Research …, 2019 - Elsevier
This paper examines the quantile-dependent short-and long-run impact of the FFR, VIX
index and crude oil prices on the credit risk of the US banking, financial services and …

An analysis of the determinants of credit default swap spread changes before and during the subprime financial turmoil

A Di Cesare, G Guazzarotti - Bank of Italy Temi di Discussione …, 2010 - papers.ssrn.com
This paper analyzes the determinants of credit default swap spread changes for a large
sample of US non-financial companies over the period between January 2002 and March …

The interconnections between US financial CDS spreads and control variables: New evidence using partial and multivariate wavelet coherences

B Hkiri, S Hammoudeh, C Aloui, M Shahbaz - International Review of …, 2018 - Elsevier
We examine the connectedness of the sector CDS spreads for US banks, financial services
firms and insurers with major global factors including the US stock market volatility, Libor …

Sovereign credit default swaps and the macroeconomy

Y Liu, B Morley - Applied Economics Letters, 2012 - Taylor & Francis
The aim of this study is to determine whether the domestic economy as represented by the
interest rate, the international economic status as represented by the exchange rate or both …