Risk Aversion and Risk Premia in the CDS Market

Credit default swap (CDS) spreads compensate investors for expected loss, but they also contain risk premia because of investors' aversion to default risk. We estimate CDS risk premia and default risk aversion to have been highly volatile during 2002-2005. Both measures appear to be related to fundamental macroeconomic factors, such as the stance of monetary policy, and technical market factors, such as issuance of collateralised debt obligations

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Year of publication:	2013
Authors:	Amato, Jeffery D.
Publisher:	[2013]: [S.l.] : SSRN
Subject:	Risikoprämie \| Risk premium \| Kreditderivat \| Credit derivative \| Risikoaversion \| Risk aversion \| Risiko \| Risk

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Extent:	1 Online-Ressource (14 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: BIS Quarterly Review, December 2005 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 1, 2005 erstellt
Classification:	G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing ; G14 - Information and Market Efficiency; Event Studies
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013094480