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The pricing of correlated default risk : evidence from the credit derivatives market

Tarashev, Nikola A. (contributor); Zhu, Haibin (contributor) - 2008

order to analyze the pricing of portfolio credit risk as revealed by tranche spreads of a popular credit default swap … asset return correlations are too low to account for the spreads of index tranches and, thus, point to a large correlation … realized correlations, sheds light on market perceptions of and attitude towards correlation risk. …

Persistent link: https://www.econbiz.de/10003721579

Price discovery in CDS and equity markets : default risk-based heterogeneity in the systematic investment grade and high yield sectors

Procasky, William J. - In: Journal of financial markets 54 (2021), pp. 1-15

Persistent link: https://www.econbiz.de/10013273142

Banking stress test effects on returns and risks

Neretina, Ekaterina; Sahin, Cenkhan; Haan, Jakob de - 2014

Persistent link: https://www.econbiz.de/10010343579

Collateralized debt obligations (CDOs) : eine empirische Analyse der Bonitätsrisikoprämie auf Finanzmärkten

Schiefer, Dirk - 2008

Persistent link: https://www.econbiz.de/10003702053

CDS and equity markets' volatility linkages : lessons from the EMU crisis

Bratis, Theodoros; Laopodis, Nikiforos; Kouretas, … - In: Review of quantitative finance and accounting 60 (2023) 3, pp. 1259-1281

Persistent link: https://www.econbiz.de/10014291804

Sovereign credit risk and stock markets : does the markets’ dependency increase with financial Distress?

Silva, Paulo Pereira da - In: International Journal of Financial Studies : open … 2 (2014) 1, pp. 145-167

This paper addresses the relationship between stock markets and credit default swaps (CDS) markets. In particular, I aim to gauge if the co-movement between stock prices and sovereign CDS spreads increases with the deterioration of the credit quality of sovereign debt. The analysis of...

Persistent link: https://www.econbiz.de/10010373349

The economic significance of CDS price discovery

Xiang, Vincent; Chng, Michael T.; Fang, Victor - In: Review of quantitative finance and accounting 48 (2017) 1, pp. 1-30

Persistent link: https://www.econbiz.de/10011796591

Stock price default boundary : a Black-Cox model approach

Shi, Yunkun; Stasinakis, Charalampos; Xu, Yaofei; Yan, Cheng - In: International review of financial analysis 83 (2022), pp. 1-11

Persistent link: https://www.econbiz.de/10013455157

Industry-level determinants of the linkage between credit and stock markets

Shahzad, Syed Jawad Hussain; Ferrer, Román; Hammoudeh, … - In: Applied economics 50 (2018) 49, pp. 5277-5301

Persistent link: https://www.econbiz.de/10012062147

The effect of liqudity on the price discovery process in credit derivatives markets in time of financial distress

Mayordomo, Sergio; Peña Sánchez de Rivera, Juan Ignacio; … - In: The European journal of finance 17 (2011) 9/10, pp. 851-881

Persistent link: https://www.econbiz.de/10009529136

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