Results 1 to 10 of about 1,374 (92)

Unveiling trading patterns: iTraxx Europe financials from the great financial crisis to ECB monetary easing [PDF]

Banks and Bank Systems, 2022
Financial stability is a statutory concern of the European Central Bank. Spreads of bank credit default swaps (CDS) indices are a reference for financial stability, but the literature is scarce in this respect.
Maria Alberta Oliveira, Carlos Santos
doaj   +4 more sources

Financial Crises and Information Transfer - An Empirical Analysis of the Lead-Lag Relationship between Equity and CDS iTraxx Indices [PDF]

SSRN Electronic Journal, 2010
This study examines the lead-lag-relationship between European equity and CDS markets in the context of the financial crisis. Previous research identified the stock market to lead the CDS market in an ordinary economic environment. Against the background of our study this lead-lag-relationship strengthens when moving from the non-crisis- to the crisis ...
Ehlers, Stefan, Gürtler, Marc, Olboeter, Sven   +2 more
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Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period

International Journal of Economics and Financial Issues, 2017
We examine the market efficiency and the linkages between financial market dynamics and iTraxx Europe of the equity markets of South East Europe (SEE).
Mariya Georgieva Paskaleva, Ani Stoitsova-Stoykova   +1 more
doaj   +9 more sources

Is Jump Risk in iTraxx Sector Indices Diversifiable? [PDF]

The Journal of Fixed Income, 2008
Previous research on credit risk mainly focuses on the prediction of default probability and most of these are based upon bond market analyses. The rapid development of the credit derivatives market make research on credit risk using information from this market more important and attractive.
Ramaprasad Bhar, Peipei Wang
openaire   +4 more sources

Debt rating downgrades of financial institutions: causality tests on single-issue CDS and iTraxx [PDF]

Quantitative Finance, 2019
This paper analyses the consequences of debt rating downgrades of financial institutions from a novel perspective.
Olivier Nataf, Lieven De Moor
openaire   +3 more sources

CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008–2009 financial crisis [PDF]

Journal of International Financial Markets, Institutions and Money, 2014
Abstract This paper empirically investigates the linkages between the CDS index market and the equity returns of a sample of systemically important financial institutions (SIFIs). Both the 5-year investment grade iTraxx Europe and the 5-year investment grade CDX North America indexes are adopted as a market consensus of the overall credit risk in the
Giovanni Calice
openaire   +4 more sources

CDS SPREADS DETERMINANTS OF CONTRACTS INCLUDED IN MARKIT ITRAXX EUROPE SENIOR FINANCIALS INDEX [PDF]

Acta academica karviniensia, 2015
Credit default swap spreads can be used as an indicator of the potential situation in a firm or economy. The instruments for credit risk management become popular among investors and together with a boom of financial innovation, a credit default swap index contract was introduced in June 2004. Since credit default swap spreads represent an indicator of
Veronika Kajurová
openaire   +3 more sources

Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index

Journal of Computational and Applied Mathematics, 2011
AbstractIn this paper we model the dependence structure between credit default swap (CDS) and jump risk using Archimedean copulas. The paper models and estimates the different relationships that can exist in different ranges of behaviour. It studies the bivariate distributions of CDS index spreads and the kurtosis of equity return distribution. To take
Nader Naifar
openaire   +3 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 ...
  +7 more sources

Impact of Financial Crisis on the Profitability of Capital Structure Arbitrage in Australia

The International Journal of Banking and Finance, 2016
We evaluate the performance of a convergence style capital structure arbitrage trading strategy using Australian CDS spreads estimated by the Credit Grades model.
Jiri Svec Nicholas
doaj