Credit default swap index
Valuation of a Tranched Loan Credit Default Swap Index
... the default and prepayment by single-factor Gaussian Copula ...between default and prepay- ...correlated default and prepayment risks are considered, where they are considered as two kinds of ...
7
Trading strategies with implied forward credit default swap spreads
... average credit default premia quantified by CMCDS ...equity index, implied volatility index and sentiment index are significant drivers of in- efficiencies in credit markets ...
49
Credit Default Swap (CDS) Spreads: The Analysis of Time Series for The Integration with The Interest Rates and The Growth in Turkish Economy
... of credit, bond and equity markets weren’t reflected in prices at once , and the information flow principally started at equity ...through index, that the credit market was affected by the equity ...
9
News-Specific Price Discovery in Credit Default Swap Markets
... results suggest that macroeconomic rather than firm-specific information is important in explaining the equity lead over the CDS market. Consequently, we focus on three key U.S. macroeconomics announcements: the release ...
44
Dependence in Credit Default Swap and Equity Markets: Dynamic Copula with Markov Switching
... between credit risk and equity value depends on the rm's credit ...that credit spread predictions obtained from Merton-type structural credit risk models underestimate historical credit ...
34
The Housing Market and the Credit Default Swap premium in the UK Banking Sector: A VAR Approach
... affecting credit spreads, the literature also highlights the significance of considering overall market conditions and market volatility in determining credit ...and credit risk as measured by the ...
40
How the Subprime Crisis went global: Evidence from bank credit default swap spreads
... Following Lehman’s failure, there was a further brief increase in the share of the variance ac- counted for by the common components. Then, although the level of CDS spreads remained high, the share of their variance ...
34
SOVEREIGN RISK ANALYSIS OF DEVELOPING COUNTRIES: FINDINGS FROM CREDIT DEFAULT SWAP PREMIUM BEHAVIOUR
... on default probability (latent variable) of Brazil by using five variables macroeconomic explanatory, namely the Fed interest rate, VIX: implied volatility index S&P 500, real exchange rate, stock ...
20
Non default Component of Sovereign Emerging Market Yield Spreads and its Determinants: Evidence from Credit Default Swap Market
... MSCI index variable still has a significant and negative impact on the basis for overall sample and speculative bonds, while on investment grade bonds the same negative effect has no ...
44
Correlations and linkages in credit risk : an investigation of the credit default swap market during the turmoil
... sector index has been used to analysis the dynamics of the CDS spread, since bank subsector is a major player in the CDS market and accounts for a large portion of the total notional amount CDSs bought and sold in ...
460
Download Download PDF
... markets index in Europe using VAR model and finds a strong connection between SCDS and stock ...sovereign default swap spreads for 26 countries and concludes that global factors are the main ...
11
The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk
... Third, we correct an important technical oversight in this literature that considers standard ordinary least squares (OLS) dynamic regressions to describe CDS spreads in levels, see for example Aunon-Nerin et al. (2002), ...
36
2008 SEC short selling ban: impacts on the credit default swap market
... Analysis of the CDS price indices indicates that the CDS prices of entities covered by the SEC ban rose at a higher rate during the period of the ban than entities not covered. 4 Prior to the ban, the CDS prices of ...
38
The economic impact of credit default swap on credit markets
... bond index and the daily T-bill return (from Kenneth French’s ...bond index return from Datastream and the daily 10-year-to-maturity government bond return from ...
81
Can Credit Default Swaps Predict Financial Crises: An Empirical Test on Emerging Markets
... market index levels, P/E ratios of indexes and 5 year sovereign credit default swap premiums whereas IMF’s International Financial Statistics database was used to retrieve other ...
33
Attenuated Model of Pricing Credit Default Swap under the Fractional Brownian Motion Environment
... firm’s default. Their models considered the default as a random event which was controlled by an exogenous intensity ...aggregate credit risk in the modern financial markets, we have recognized that ...
13
What determines euro area bank CDS spreads? National Bank of Belgium Working Paper, No. 190, May 2010
... The swap spread, our proxy for market wide banking risk, is highly significant in all ...(Lehman default) its coefficient is significantly positive both in the entire period and in the crisis ...the ...
38
The effects of 2007-2008 crisis on the CDS and the interbank markets: Empirical investigations
... party credit risk for the CDS dealers should be most evident when they are selling protection on firms in the financial ...on default correlation between reference entities and the major CDS counterparties ...
155
Credit default swap spread model : descriptive and predictive, insight in the determinants of cds spreads
... the credit default swap (CDS) ...the credit worthiness of financial institutions was questioned with the forced sale of Bear Stearns and the fall of Lehman Brothers, this had its impact on the ...
50
PhD thesis on liquidity of bond market
... The most interesting finding, by far, is that in Period III the non-default yield spreads for both the short-term and long-term bonds clearly had humped-shape term structures. The term structures peaked half way ...
236