Are Credit Default Swap Spreads Market Driven?

We focus on the link prevailing between credit default swap spreads and the U.S. financial market. We apply the Flexible Least Squares regression method to investigate the relationship between CDX spreads and Dow Jones Composite index return. We care about bad scenarios where a decrease in the U.S. market index triggers an increase in CDX spreads

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Year of publication:	[2017]
Authors:	Gatfaoui, Hayette
Publisher:	[2017]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (19 p)
Type of publication:	Book / Working Paper
Notes:	In: Published as follows: “MODEL RISK: CARING ABOUT STYLIZED FEATURES OF ASSET RETURNS! How does equity market influence credit default swap market?”, In Gregoriou Greg N., Hoppe Christian, Wehn Carsten (Eds), Chapter 5, The Risk Modeling Evaluation Handbook: Rethinking Financial Risk Management Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 19, 2007 erstellt
Other identifiers:	10.2139/ssrn.1237582 [DOI]
Classification:	C22 - Time-Series Models ; G12 - Asset Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012706693