Results 81 to 90 of about 1,617 (102)
Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017
Studies in Economics and Finance, 2019 Purpose The aim of this research is twofold. First, we study average levels of liquidity for long-run through-the-cycle periods, which potentially allow eliminating procyclicality from risk parameters used for expected credit-loss calculations.
Mariya Gubareva
semanticscholar +3 more sources
Modelling the dependence structures of Australian iTraxx CDS index
Applied Economics, 2014 In 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.
J. Fenech, Hamed Vosgha, S. Shafik
semanticscholar +3 more sources
Review of Managerial Science, 2010 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 ...
P. Grundke
semanticscholar +3 more sources
An index of European loan credit default swaps: iTraxx LevX
Law and Financial Markets Review, 2008 The Markit iTraxx LevX indices are based on terms published by the International Swaps and Derivatives Association and intended to enable market participants to hedge or assume systemic risks more efficiently. Designed for the European leveraged loan market often characterised by insufficient information, these indices use a continuity procedure in ...
Justin Conway, Julia Lu Fu
semanticscholar +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 +7 more sources
Hedging iTraxx credit default swap index trading on an intraday basis: an empirical study
The Journal of Investment Strategies, 2014 Cheng-Ran Du, Tim Brunne
semanticscholar +4 more sources
The impact of war in Ukraine on market and credit risk: A case study of EuroStoxx companies
Review of Financial Economics, Volume 44, Issue 1, January 2026.In this article, we explore the impact of the beginning of the war between Ukraine and Russia on both the market and credit risk of large European companies to find out which were more sensitive and if the reactions varied by sector.
Cecilia Téllez Valle +2 more
semanticscholar +2 more sources
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Credit risk downgrades and the CDS market: a wavelet analysis
The Journal of Risk Finance, 2023PurposeThis paper aims to assess the consequences of credit risk downgrades on credit default swaps (hereafter CDS) written on financial companies from two different perspectives, namely the overall stress level observed on the market and the rating ...
Olivier Nataf, Lieven De Moor
semanticscholar +1 more source