Results 11 to 20 of about 1,396 (101)
Credit Default Swaps and Equity Prices: The Itraxx CDS Index Market [PDF]
, 2008 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 ...
Hans Byström
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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
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Modelling dependence structure with Archimedean copulas and applications to the iTraxx CDS index
Journal of Computational and Applied Mathematics, 2010 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Nader Naifar
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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
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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
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CDS SPREADS DETERMINANTS OF CONTRACTS INCLUDED IN MARKIT ITRAXX EUROPE SENIOR FINANCIALS INDEX [PDF]
Acta academica karviniensia, 2015 Veronika Kajurová
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, 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.
Mariya Paskaleva, Ani Stoykova
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& Credit Default Swaps and Equity Prices: The iTraxx CDS Index Market [PDF]
, 2008 openalex +2 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
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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
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