This paper looks at the dynamic price relationship between spreads in the corporate bond market and credit default swaps (CDS). It picks up where Blanco et al (2005) leave off but is focused on European credit markets. The study is based on companies listed in the iTraxx CDS index and thus on...

We show that the propensity of a bank to experience extreme comovements in its credit default swap premia together with the market is priced in the bank's default swap spread during the financial crisis. We measure a bank's CDS tail beta by estimating the upper tail dependence between its...