Results 81 to 90 of about 1,396 (101)
Proxyhedging av svenska aktieportföljer - en komparativ studie mellan OMXS30-optioner och iTraxx
, 2009 Erik Rostedt +3 more
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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
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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 Grundke
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Excess liquidity premia of single-name CDS vs iTraxx/CDX spreads: 2007-2017
Studies in Economics and Finance, 2019 PurposeThe 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. Second, we investigate to what extent the relative illiquidity of individual credit default swap (CDS ...
Mariya Gubareva
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Modelling the dependence structures of Australian iTraxx CDS index
Applied Economics, 2013 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.
Jean Pierre Fenech +2 more
openalex +2 more sources
Journal of Banking & 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 +2 more
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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
+4 more sources
& CDO Prices and Risk Management: A Comparative Study of Alternative Approaches for iTraxx Pricing
, 2008 openalex +2 more sources