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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

A Value at Risk Analysis of Credit Default Swaps

Raunig, Burkhard - 2016

letzten Jahren den Handel mit Kreditrisiko signifikant vereinfacht. Ein standardisiertes Kontrakt-Design, niedrige … Kreditderivat. Wir analysieren das Risiko von CDS, die im Handelsbuch gehalten werden. Wir vergleichen den Value at Risk (VaR) der … mit hohem Kreditrisiko deutlich geringer. Die Distanz sinkt auch bei längeren Haltedauern. Wir beobachten weiter eine …

Persistent link: https://www.econbiz.de/10012989272

Systemic default and return predictability in the stock and bond markets

Bao, Jack; Hou, Kewei; Zhang, Shaojun - 2016

Using a structural model of default, we construct a measure of systemic default defined as the probability that many firms default at the same time. We account for correlations in defaults between firms through exposures to common shocks. The systemic default measure spikes during recession...

Persistent link: https://www.econbiz.de/10011810905

Understanding the market reaction to shockwaves : evidence from the failure of Lehman Brothers

Dumotaux, Nicolas; Pop, Adrian - In: Journal of financial stability 9 (2013) 3, pp. 269-286

Persistent link: https://www.econbiz.de/10010237087

Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2014

Using copula methods and simulation-based inference, the authors investigate the association between the performance of a stock index formed by European financial institutions and a basket of CDS contracts of the same sector. Their analysis focuses on (i) assessing the dependence structure of...

Persistent link: https://www.econbiz.de/10010429997

Tail dependence of financial stocks and CDS markets : evidence using copula methods and simulation-based inference

Silva, Paulo Pereira da; Rebelo, Paulo Tomaz; Afonso, … - 2013

Using copula methods and simulation-based inference the authors address the association between the performance of the stocks of European banks and the CDS markets. Their analysis has three purposes: (i) analysing the dependence structure of the markets when extreme events occur; (ii) checking...

Persistent link: https://www.econbiz.de/10010187546

Firm-specific risk-neutral distributions : the role of CDS spreads

Aramonte, Sirio; Jahan-Parvar, Mohammad R.; Rosen, Samuel; … - 2017

We propose a method to extract individual firms' risk-neutral return distributions by combining options and credit default swaps (CDS). Options provide information about the central part of the distribution, and CDS anchor the left tail. Jointly, options and CDS span the intermediate part of the...

Persistent link: https://www.econbiz.de/10011779565

Credit Default Swaps, the Leverage Effect, and Cross-Sectional Predictability of Equity and Firm Asset Volatility

Forte, Santiago - 2020

We investigate the informational content of credit default swap (CDS) spreads for future volatility of (firm) assets and equity. In the cross-section, CDS spreads are significantly more informative about future asset than equity volatility. The informational content of historical and option...

Persistent link: https://www.econbiz.de/10012848868

The Price Impact of Rating Announcements : Evidence from the Credit Default Swap Market

Micu, Marian - 2013

Persistent link: https://www.econbiz.de/10013092037

Banking stress test effects on returns and risks

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

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

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