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International Review of Financial Analysis, 2009 This paper contributes to the primarily empirical literature by conducting the first extensive empirical analysis of the impact of the degree of co-movement in the main standardized credit default swap (CDS) indices on the group of large complex financial institutions (LCFIs).
Calice, Giovanni, Ioannidis, Christos
+8 more sources
Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market [PDF]
, 2005 In this paper we provide some early evidence of a link between the iTraxx credit default swap (CDS) index market and the stock market. To our knowledge this is the first paper studying this relationship. Knowledge about the link between stock prices, stock return volatilities and CDS spreads is important not only for risk managers using credit default ...
Hans Byström
+8 more sources
Archives of Advanced Engineering Science, 2023 In this study, a simulation model has been established to forecast the stock price index of Borsa Istanbul (BIST100) and 5-year maturity credit default swap (CDSs) spreads with an artificial intelligence approach. In the study where short-term and long-term relationships between variables were examined using nonlinear econometric models such as ...
Ayben Koy, Andaç Batur Çolak
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Valuation of a Tranched Loan Credit Default Swap Index
Technology and Investment, 2011 This paper provides a methodology for valuing a Loan Credit Default Swap Index (LCDX) and its tranches involving both default and prepayment risks. The valuation is path dependence, where interest, default and prepayment rates are correlated stochastic processes following CIR processes. By Monte Carlo simulation, a numerical solution and team structure
Jin Liang, Yujing Zhou
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African sovereign risk premia and international market assets: A relook under the COVID-19 outbreak [PDF]
HeliyonUsing the wavelet multiscale coherence technique, the paper examines the interdependences between global market assets, sovereign credit default swap (CDS) and yield-to-maturity on bond spread for African economies from January 2019 to March 2023.
Godfred Amewu +2 more
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The Liquidity of Credit Default Index Swap Networks
SSRN Electronic Journal, 2017 Recent regulatory reforms like the mandatory clearing of standardized swap contracts and mandatory trading on centralized execution platforms have significantly changed the derivatives landscape. These reforms have, in certain cases, led the market to increasingly trade on multilateral platforms, potentially affecting the average cost of execution ...
Richard Haynes, Lihong McPhail
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The Bear's Lair: Indexed Credit Default Swaps and the Subprime Mortgage Crisis
SSRN Electronic Journal, 2009 ABX.HE indexed credit default swaps on baskets of mortgage-backed securities are now the main benchmark used by financial institutions to mark their subprime mortgage portfolios to market. However, we find that current prices for the ABX.HE indices are inconsistent with any finite assumption for mortgage default rates, and that ABX.HE price changes are
Richard Stanton, Nancy Wallace
+5 more sources
A comparison study of pricing credit default swap index tranches with convex combination of copulae [PDF]
The North American Journal of Economics and Finance, 2017 Abstract Copula as a tool for dependence modeling has been widely used in pricing portfolio-like financial derivatives, e.g. credit default swap index (CDX) tranches. Among the pricing models, the model equipped with the Gaussian copula has become the market benchmark for a long time.
Ostap Okhrin, Ya Fei Xu
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Borsa Istanbul Review, 2018 In this paper, the time-varying correlations are estimated for the purpose of examining whether CDS can act as a hedge and safe haven for the European stock sectors. Similarly, the implications for portfolio design are also evaluated on daily and weekly data span bases, concerning the period ranging from December 2007 to September 2017.
Rania Zghal +2 more
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The Liquidity Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions
SSRN Electronic Journal, 2011 In this paper, we conduct the first empirical investigation into the impact of liquidity in the credit default swap index market on large complex financial institutions (LCFIs). We estimate this liquidity effect for the investment grade 5-year CDX North America and the investment grade 5-year iTraxx Europe.
Giovanni Calice
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