Results 11 to 20 of about 1,617 (102)
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
R. Bhar, David B. Colwell, Peipei Wang
semanticscholar +3 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
semanticscholar +4 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.
R. Bhar, Peipei Wang
semanticscholar +3 more sources
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
J. Sibille, G. Hübner
semanticscholar +3 more sources
Syntetisk CDO: iTraxx-prising ved bruk av en Normal Invers Gaussisk Copula
, 2013 I denne oppgaven skal vi se at det er et stort marked for kredittderivater etter finanskrisen, men da i en vridning mot syntetiske varianter. Men framtidsutsiktene er usikre, da disse produktene er i en særstilling når det gjelder nye reguleringer.
Kjetil Sørlien Nordanå
openaire +3 more sources
, 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). Therefore, this study aims to answer whether there exists a difference between the stock market performance of the developed and emerging SEE capital markets.
PASKALEVA, Mariya Georgieva +1 more
openaire +3 more sources
Complexity, Volume 2023, Issue 1, 2023., 2023 Previous studies focused on the fundamental channels of the interaction between the equity market and credit default swap (CDS) market. This paper finds another channel, investor sentiment, that contributes to the impact of the equity market on the CDS market under different time horizons and market conditions within the framework of wavelet quantile ...
Weifang Mao +5 more
wiley +1 more source
Sovereign CDS Premiums’ Reaction to Macroeconomic News: An Empirical Investigation
Complexity, Volume 2021, Issue 1, 2021., 2021 We assess the efficiency of the sovereign credit default swap (CDS) market by investigating how sovereign CDS spreads react to macroeconomic news announcements. Contrary to the vast majority of the existing literature, one of our main findings supports the hypothesis that news announcements reduce market uncertainty and, thus, that both better‐ and ...
Min Lu +3 more
wiley +1 more source
Forecasting CDS Term Structure Based on Nelson–Siegel Model and Machine Learning
Complexity, Volume 2020, Issue 1, 2020., 2020 In this study, we analyze the term structure of credit default swaps (CDSs) and predict future term structures using the Nelson–Siegel model, recurrent neural network (RNN), support vector regression (SVR), long short‐term memory (LSTM), and group method of data handling (GMDH) using CDS term structure data from 2008 to 2019.
Won Joong Kim +3 more
wiley +1 more source
What are the driving factors behind the rise of spreads and CDSs of Euro-area sovereign bonds? A FAVAR model for Greece and Ireland [PDF]
, 2012 This paper examines the underlying dynamics of selected euro-area sovereign bonds by employing a factor-augmenting vector autoregressive (FAVAR) model for the first time in the literature.
Apergis, Nicholas, Mamatzakis, Emmanuel
core +3 more sources