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The relationship between credit default swaps and loan renegotiation

International economics

Senior Researcher : Alfredo Martín-Oliver

Research Centre or Institution : Universitat de les Illes Balears


The target of the project is to analyze the relationship between the bank loan market and the CDS market, with a special focus on the renegotiation of loans. The research proposal posited the publication of four articles in leading journals of Finance and Economics and the presentation of the research at relevant international conferences. To date, we have reached all of these targets, and, as well as this, we have opened new avenues of research that have resulted in three additional Working Papers that we expect to publish in the near future. In the paragraphs below, we detail the results in the form of publications in refereed journals derived from our research project.

The CDS market reaction to loan renegotiation announcements has been published in the Journal of Banking and Finance (Impact Factor 3.539, Q2 Business, Finance). This paper analyzes the response of loan renegotiation announcements on the CDS and stock markets. The results show that the certification effect drives the reaction in both markets.

The article How does bank competition affect credit risk? Evidence from loan-level data is published in the journal Economics Letters (Impact Factor 1.745, Q2 Economics). It analyzes the determinants of credit risk and finds that the level of competition in the loan market contributes to lowering the probability of default on bank loans.

Trade credit duration and optimal order quantities under buyer capacity constraints has been published in the European Journal of Operation Research (Impact Factor 6,363; Q1 Operational Research and Management Science). This paper posits a theoretical model of real options to assess the design and regulation of trade credit contracts.

Vertical integration: A real options approach, published in Applied Economics Letters (Impact Factor 1,287; Q4 Economics). This paper presents a theoretical model of real options to explore the trade-off between vertical integration and external procurement.

The results of this research have been presented at international conferences, such as FMA European Conference, IRMC 2020, World Finance & Banking Symposium, Finance Forum or Real Options Conference.It is worth mentioning that the difusion plan has seriously affected by the impact and duration of the pandemic.


Scientific Production
Magazine Articles 4
Communications at national conferences 1
Communications at international conferences 10


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