Results 1 to 10 of about 1,396 (101)
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
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Implied correlations of iTraxx tranches during the financial crisis [PDF]
, 2010 Implied Base Correlations of Single-tranche CDOs on standardized Credit Indices such as the iTraxx Europe have been used in the credit derivatives market for price communication.
Heidorn, Thomas, Kahlert, Dennis
core +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 ...
Stefan Ehlers +2 more
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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.
Hans Byström
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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.
Carol Alexander, Andreas Kaeck
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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
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SSRN Electronic Journal, 2009 We investigate the characteristic of implied volatility in CDS market and its relationship with stock market within European area. The comprehensive analysis show that stock market weakly leads CDS market on daily changes but for implied volatility, the stock market leads CDS market, and VECM analysis show that only the stock market contribute to price
Ramaprasad Bhar +2 more
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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
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Estimating Option-Implied Correlation between iTraxx Europe Financial and Corporate Sub-Indexes [PDF]
SSRN Electronic Journal, 2012 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 ...
Cho‐Hoi Hui +2 more
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Correlation between the Recovery Rate and the State of an Economy - Application on the iTraxx
SSRN Electronic Journal, 2008 This paper studies the relationship between the recovery rate (RR) and the state of an economy (SE) in the traditional Monte Carlo credit risk model introduced by Li (1999) for the pricing of structured credit derivatives. This effect is significant if we consider extreme tranches of collateralized debt obligations (CDOs), because they are only reached
Jean-Roch Sibille, Georges Hübner
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