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 +5 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 ...
Stefan Ehlers +2 more
semanticscholar +8 more sources
Regimes in CDS Spreads: A Markov Switching Model of Itraxx Europe Indices [PDF]
SSRN Electronic Journal, 2006 This paper investigates the determinants of the iTraxx CDS Europe indices, finding strong evidence that they are regime dependent. During volatile periods credit spreads become highly sensitive to stock volatility and more sensitive to this than to stock returns. They are also almost immune to interest rates changes.
C. Alexander, Andreas Kaeck
semanticscholar +6 more sources
Option-implied correlation between iTraxx Europe Financials and Non-Financials Indexes: A measure of spillover effect in European debt crisis. [PDF]
SSRN Electronic Journal, 2013 This paper proposes a model to estimiate option-implied correlation embedded in options on the iTraxx Europe indexes as a measure of the spillover effect of default risk between the financial and corporate sectors in Europe. The correlation structure between the iTraxx Financials and Non-Financials sub-indexes are reflected in the option on the iTraxx ...
C. Hui, C. Lo, C. Lau
semanticscholar +6 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 ...
H. Byström
semanticscholar +8 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
G. Calice
semanticscholar +4 more sources
CreditGrades and the iTraxx CDS Index Market
Financial Analysts Journal, 2006 In the study reported, the CreditGrades model was used to calculate credit default swap spreads and the spreads were compared with empirically observed CDS spreads for eight iTraxx indices covering Europe. Theoretical and empirical spread changes were found to be significantly correlated.
H. Byström
semanticscholar +5 more sources
Hedging iTraxx CDS Index Trading on an Intraday Basis: An Empirical Study
SSRN Electronic Journal, 2013 In this paper we examine the effectiveness of intraday hedging models for CDS index trading by means of more liquidly traded exchange-based future contracts. We consider the equity and BUND future as financial instruments to hedge standard 5Y iTraxx Euro Main and Crossover indices.
Cheng-Ran Du, Tim Brunne
semanticscholar +3 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. Instead of using the traditional event-study framework, our study relies on Granger causality tests performed on three samples of data from
Olivier Nataf, Lieven De Moor
semanticscholar +4 more sources
Determinanty CDS spreadů kontraktů zahrnutých v indexu Markit iTraxx Europe Senior Financials [PDF]
Acta academica karviniensia, 2015 Veronika Kajurová
semanticscholar +4 more sources