Results 171 to 180 of about 418 (215)
Journal of Financial Services Research, 2016 This article is a contribution towards the growing empirical literature on the relationship between liquidity and pricing of credit default swaps (CDSs). To the best of my knowledge, the article becomes the first to show that market liquidity does matter to CDS pricing in Japan, by looking into a sole benchmark index of CDS trading for investment-grade
Kei-Ichiro Inaba
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Constructing a Credit Default Swap Index and Detecting the Impact of the Financial Crisis
, 2012 Yoko Tanokura +3 more
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& Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market [PDF]
, 2008 openalex +2 more sources
Does Asian Credit Default Swap Index Improve Portfolio Performance?
, 2016 This study aims to find whether adding Asian Credit Default Swap (CDS) index will improve the portfolio performance. We introduce a new approach namely Markov switching copula approach to estimate the dependence between asset returns and evaluated the risks of the portfolio by using Value at Risk and Expected Shortfall.
Chatchai Khiewngamdee +2 more
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A joint analysis of market indexes in credit default swap, volatility and stock markets
Applied Economics, 2015 ABSTRACTThis paper analyses the joint dynamics of the CDS, volatility and stock markets using both VAR and Markov regime-switching VAR models with market index data. It shows that the joint behaviour of the three markets is better characterized by the Markov model with two regimes corresponding to low- and high-volatile market conditions.
José Da Fonseca, Peiming Wang
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The Role of Asian Credit Default Swap Index in Portfolio Risk Management
, 2017 This paper aims at evaluating the performance of Asian Credit Default Swap (CDS) index in risk measurement and portfolio optimization by using several multivariate copulas-GARCH models with Expected Shortfall and Sharpe ratio. Multivariate copula-GARCH models consider the volatility and dependence structures of financial assets so that they are ...
Jianxu Liu +2 more
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Back to the future: Futures margins in a future credit default swap index futures market
Journal of Futures Markets, 2006 AbstractThe introduction of exchange‐traded credit default swap (CDS) index futures is eminent and this development in the credit market is the subject of this article. A theoretically appealing and practically implementable approach to computing accurate futures margins based on extreme value theory is suggested.
Hans Byström
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2021
Kredi temerrüt takasları (CDS), kredi riskinin borç veren tarafından daha düşük bir maliyetle karşılanmasını sağlamaktadır. Yüksek CDS primleri beraberinde yüksek borçlanma maliyetlerini getirmektedir. Yükselen maliyetler ise risklerin artmasına neden olacaktır.
BAYRAKDAROĞLU, Ali, MİRGEN, Çağatay
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Kredi temerrüt takasları (CDS), kredi riskinin borç veren tarafından daha düşük bir maliyetle karşılanmasını sağlamaktadır. Yüksek CDS primleri beraberinde yüksek borçlanma maliyetlerini getirmektedir. Yükselen maliyetler ise risklerin artmasına neden olacaktır.
BAYRAKDAROĞLU, Ali, MİRGEN, Çağatay
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2021
Volatility Index is one of the important indicators used to predict the expected future movements of securities in financial markets. In this study, the effect of Credit Default Swap (CDS), Dollar Rate, Euro Rate, BIST 100 and Gold variables on Volatility Index and the existence of cointegration relationship between the variables is analysed for the ...
MÜNYAS, Turgay, BEKTUR, Çisem
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Volatility Index is one of the important indicators used to predict the expected future movements of securities in financial markets. In this study, the effect of Credit Default Swap (CDS), Dollar Rate, Euro Rate, BIST 100 and Gold variables on Volatility Index and the existence of cointegration relationship between the variables is analysed for the ...
MÜNYAS, Turgay, BEKTUR, Çisem
openaire +1 more source