Gambling for market recovery? European insurers' corporate bond investments during market stress
Journal of Risk and Insurance, Volume 92, Issue 4, Page 857-908, December 2025.Abstract Using daily stock market data for European insurers, I investigate how a stock market contraction, as experienced during the COVID‐19 pandemic, affects insurers' credit risk allocation of their corporate bond portfolio. I find that insurers shift their portfolio holdings pro‐cyclically towards lower credit risk assets in the first month of the
Marcel Beyer
wiley +1 more source
From Climate Chat to Climate Shock: Non‐Linear Impacts of Transition Risk in Energy CDS Markets
Environmetrics, Volume 36, Issue 3, April 2025.ABSTRACT It is still unclear to what extent transition risks are being internalized by financial investors. In this paper, we provide a novel investigation of the impact of media‐based measures of transition risks on the credit risk of energy companies, as measured by their credit default swaps (CDS) indices. We include both European and North American
Emanuele Campiglio +3 more
wiley +1 more source
Correlation Structures of Correlated Binomial Models and Implied Default Distribution
, 2008 We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables.
Aleksiejuk A. +16 more
core +1 more source
Corporate credit default swap systematic factors
Journal of Futures Markets, Volume 44, Issue 7, Page 1224-1256, July 2024.Abstract We examine a comprehensive set of systematic and firm‐specific determinants of the credit default swap (CDS), using a two‐step approach to explore the factor's effect on CDS spread changes. We show that systematic factors are important and account for the most changes in the CDS spreads (with average R 2 ${R}^{2}$ of 35%), while firm‐specific ...
Ka Kei Chan, Ming‐Tsung Lin, Qinye Lu
wiley +1 more source
Impact of Financial Crisis on the Profitability of Capital Structure Arbitrage in Australia
The International Journal of Banking and Finance, 2016 We evaluate the performance of a convergence style capital structure arbitrage trading strategy using Australian CDS spreads estimated by the Credit Grades model.
Jiri Svec Nicholas
doaj
A market-consistent framework for the fair evaluation of insurance contracts under Solvency II [PDF]
, 2019 The entry into force of the Solvency II regulatory regime is pushing insurance companies in engaging into market consistence evaluation of their balance sheet, mainly with reference to financial options and guarantees embedded in life with-profit funds ...
Casalini, R. +3 more
core +2 more sources
Moody's Correlated Binomial Default Distributions for Inhomogeneous Portfolios
, 2006 This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two cases.
Andersen L +20 more
core +3 more sources
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk [PDF]
, 2011 By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables.
Kapar, B., Olmo, J.
core
Stressing rating criteria allowing for default clustering: the CPDO case [PDF]
After a brief review of the literature on rating arbitrage for corporate and structured nance, we introduce the standard criteria adopted by rating agencies to assess riskiness of Constant Proportion Debt Obligations (CPDO). Then, we propose a new rating
Pallavicini, Andrea, Torresetti, Roberto
core +1 more source
Implied correlations of iTraxx tranches during the financial crisis [PDF]
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