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
exaly +4 more sources
Is Jump Risk in iTraxx Sector Indices Diversifiable? [PDF]
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
exaly +2 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 +2 more
openaire +5 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.
Carol Alexander, Andreas Kaeck
openaire +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.
Olivier Nataf, Lieven De Moor
exaly +3 more sources
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. During the financial crisis, implied correlations have been quite volatile indicating the growing fraction of systematic credit risk of STCDOs.
Heidorn, Thomas, Kahlert, Dennis
core +6 more sources
Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
Journal of Computational and Applied Mathematics, 2011 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nader Naifar
exaly +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
exaly +2 more sources
& Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market [PDF]
, 2008 exaly +2 more sources
The dynamics of spillover effects during the european sovereign debt turmoil : [draft: october 29, 2012] [PDF]
, 2012 In this paper we develop empirical measures for the strength of spillover effects. Modifying and extending the framework by Diebold and Yilmaz (2011), we quantify spillovers between sovereign credit markets and banks in the euro area.
Alter, Adrian, Beyer, Andreas
core +1 more source