Results 71 to 80 of about 1,390 (89)
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CreditGrades and the iTraxx CDS Index Market
Financial Analysts Journal, 2006In 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.
exaly +2 more sources
Review of Managerial Science, 2009
This paper tests whether (and to what extent) default risk dependencies changed during the subprime crisis in 2007 and 2008. This is done by applying a Goodness-of-fit test, based on the Rosenblatt transformation, to test various null hypotheses with respect to the copula function that describes the stochastic dependence between daily returns of six ...
Peter
exaly +2 more sources
This paper tests whether (and to what extent) default risk dependencies changed during the subprime crisis in 2007 and 2008. This is done by applying a Goodness-of-fit test, based on the Rosenblatt transformation, to test various null hypotheses with respect to the copula function that describes the stochastic dependence between daily returns of six ...
Peter
exaly +2 more sources
Journal of Banking and Finance, 2013
Abstract This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spillover effect of default risk between the financial and corporate sectors in Europe.
Cho-Hoi Hui, Chi-Fai Lo, Chun-Sing Lau
exaly +2 more sources
Abstract This paper proposes an analytic method to estimate the option-implied correlation embedded in options on the iTraxx Europe CDS indexes. The option-implied correlation is suggested as a measure of the spillover effect of default risk between the financial and corporate sectors in Europe.
Cho-Hoi Hui, Chi-Fai Lo, Chun-Sing Lau
exaly +2 more sources
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, Chi-fai Lo, Chun-sing Lau
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Modelling the dependence structures of Australian iTraxx CDS index
Applied Economics, 2013In contrast to market expectations, the correlation between credit default swap (CDS) spreads and their respective stock prices in Australia was found to be positive. The global financial crisis (GFC) affected the nonlinear association between the two asset classes with firms experiencing financial distress and stock prices plummeting.
Jean-pierre Fenech +2 more
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Hedging iTraxx CDS Index Trading on an Intraday Basis: An Empirical Study
SSRN Electronic Journal, 2013In 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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Correlation between the Recovery Rate and the State of an Economy - Application on the iTraxx
SSRN Electronic Journal, 2008This 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 Hubner
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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
openaire +1 more source
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
openaire +1 more source
& CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing
2008exaly +2 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
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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 +1 more source