Credit Default Swap Spreads And U S Financial Market
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Credit Default Swap Spreads And U S Financial Market
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Author : Hayette Gatfaoui
language : en
Publisher:
Release Date : 2017
Credit Default Swap Spreads And U S Financial Market written by Hayette Gatfaoui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
Under Basel II framework, credit risk assessment is of high significance in the light of correlation risk. Correlation risk is often envisioned along with business conditions and financial market's impact. We employ copula methodology to identify the dependence structures that may exist between market risk fundamentals and credit risk fundamentals. Considering credit derivative spreads as credit risk fundamentals and market data as market risk determinants, we describe and quantify the asymmetric link prevailing between credit risk and market risk. Credit risk is negatively linked with market price risk whereas it becomes positively linked with market volatility risk. Such patterns give rise to interesting asymmetric dependence structures between both risk sources. We are then able to balance reliably market price risk with market volatility feedback, the market trend supporting a common correlation between securities. In the light of the previous trade-off, we propose also a simple credit Risk management rule.
Credit Default Swap Markets In The Global Economy
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Author : Go Tamakoshi
language : en
Publisher: Routledge
Release Date : 2018-01-19
Credit Default Swap Markets In The Global Economy written by Go Tamakoshi and has been published by Routledge this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-01-19 with Business & Economics categories.
This book provides a comprehensive overview for various segments of the global credit default swap (CDS) markets, touching upon how they were affected by the recent financial turmoil. The book uses empirical analysis on credit default swap markets, applying advanced econometric methodologies to the time series data. It covers not only well-studied sovereign credit default swap markets but also sector credit default swap indices (i.e., CDS index for the banking sector) and corporate credit default swap indices (i.e., Markit iTraxx Japan CDS index), which have not been fully examined by the previous literature. The book also investigates causality and co-movement among several credit default swap markets, or between CDS and other financial markets.
Credit Default Swaps
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Author : Christopher L. Culp
language : en
Publisher: Springer
Release Date : 2018-07-12
Credit Default Swaps written by Christopher L. Culp and has been published by Springer this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-07-12 with Business & Economics categories.
This book, unique in its composition, reviews the academic empirical literature on how CDSs actually work in practice, including during distressed times of market crises. It also discusses the mechanics of single-name and index CDSs, the theoretical costs and benefits of CDSs, as well as comprehensively summarizes the empirical evidence on important aspects of these instruments of risk transfer. Full-time academics, researchers at financial institutions, and students will benefit from the dispassionate and comprehensive summary of the academic literature; they can read this book instead of identifying, collecting, and reading the hundreds of academic articles on the important subject of credit risk transfer using derivatives and benefit from the synthesis of the literature provided.
Are Credit Default Swap Spreads Market Driven
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Author : Hayette Gatfaoui
language : en
Publisher:
Release Date : 2017
Are Credit Default Swap Spreads Market Driven written by Hayette Gatfaoui and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017 with categories.
We focus on the link prevailing between credit default swap spreads and the U.S. financial market. We apply the Flexible Least Squares regression method to investigate the relationship between CDX spreads and Dow Jones Composite index return. We care about bad scenarios where a decrease in the U.S. market index triggers an increase in CDX spreads.
Credit Default Swaps
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Author : Marti Subrahmanyam
language : en
Publisher: Now Publishers
Release Date : 2014-12-19
Credit Default Swaps written by Marti Subrahmanyam and has been published by Now Publishers this book supported file pdf, txt, epub, kindle and other format this book has been release on 2014-12-19 with Business & Economics categories.
Credit Default Swaps: A Survey is the most comprehensive review of all major research domains involving credit default swaps (CDS). CDS have been growing in importance in the global financial markets. However, their role has been hotly debated, in industry and academia, particularly since the credit crisis of 2007-2009. The authors review the extant literature on CDS that has accumulated over the past two decades and divide the survey into seven topics after providing a broad overview in the introduction. The second section traces the historical development of CDS markets and provides an introduction to CDS contract definitions and conventions. The third section discusses the pricing of CDS, from the perspective of no-arbitrage principles, structural, and reduced-form credit risk models. It also summarizes the literature on the determinants of CDS spreads, with a focus on the role of fundamental credit risk factors, liquidity and counterparty risk. The fourth section discusses how the development of the CDS market has affected the characteristics of the bond and equity markets, with an emphasis on market efficiency, price discovery, information flow, and liquidity. Attention is also paid to the CDS-bond basis, the wedge between the pricing of the CDS and its reference bond, and the mispricing between the CDS and the equity market. The fifth section examines the effect of CDS trading on firms' credit and bankruptcy risk, and how it affects corporate financial policy, including bond issuance, capital structure, liquidity management, and corporate governance. The sixth section analyzes how CDS impact the economic incentives of financial intermediaries. The seventh section reviews the growing literature on sovereign CDS and highlights the major differences between the sovereign and corporate CDS markets. The eighth section discusses CDS indices, especially the role of synthetic CDS index products backed by residential mortgage-backed securities during the financial crisis. The authors close with our suggestions for promising future research directions on CDS contracts and markets.
The Influence Of Systemic Importance Indicators On Banks Credit Default Swap Spreads
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Author : U. S. Department U.S. Department of Treasury
language : en
Publisher: Createspace Independent Publishing Platform
Release Date : 2016-01-09
The Influence Of Systemic Importance Indicators On Banks Credit Default Swap Spreads written by U. S. Department U.S. Department of Treasury and has been published by Createspace Independent Publishing Platform this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-01-09 with categories.
This book examines the relationship between banks' observed credit default swap (CDS) spreads and possible measures of systemic importance. We use five-year CDS spreads from Markit with an international sample of 71 banks to investigate whether market participants are giving them a discount on borrowing costs based on the expectation that governments would consider them "too big to fail." We find a consistent, statistically significant negative relationship between five-year CDS spreads and nine different systemic importance indicators using a generalized least squares (GLS) model. The book finds that banks perceived as too big to fail have CDS spreads 44 to 80 basis points lower than other banks, depending on the asset-size threshold and controls used. Additionally, the study suggests market participants pay more attention to asset size than to a more complex measure, such as designation as a globally systemically important bank (G-SIB), that includes additional factors, such as substitutability and interconnectedness. Lastly, the model suggests that asset size acts as a threshold effect, rather than a continuous effect with the best fitting models using asset-size thresholds of $50 billion to $150 billion.
Credit Default Swaps And Their Role In The Financial Crisis
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Author : Klaus Schütz
language : en
Publisher: GRIN Verlag
Release Date : 2012-08-07
Credit Default Swaps And Their Role In The Financial Crisis written by Klaus Schütz and has been published by GRIN Verlag this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012-08-07 with Business & Economics categories.
Seminar paper from the year 2011 in the subject Economics - Finance, grade: A, Union Graduate College, course: Money, Markets and Banking, language: English, abstract: A credit default swap is essentially an insurance contract to hedge credit risk. It is a type of derivative whose value depends on the likelihood of a company defaulting. In this type of derivative two parties enter a contract where one party agrees to pay another in the event of a company defaulting on bond payments (also known as a credit event) for a premium or spread. CDS played a pivotal role in the recent financial crisis. It is also due to CDS that the crisis in the US housing market grew to a danger for the global capital markets. They were mainly responsible for the fall of insurance giant AIG and other turmoil over the course of the financial crisis. In this paper the nature and history of CDS is examinzed and their role in the financial crisis analyzed.
Credit Default Swaps On Government Debt
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Author : United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises
language : en
Publisher:
Release Date : 2010
Credit Default Swaps On Government Debt written by United States. Congress. House. Committee on Financial Services. Subcommittee on Capital Markets, Insurance, and Government Sponsored Enterprises and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2010 with Business & Economics categories.
How The Subprime Crisis Went Global Evidence From Bank Credit Default Swap Spreads
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Author : Barry Eichengreen
language : en
Publisher:
Release Date : 2009
How The Subprime Crisis Went Global Evidence From Bank Credit Default Swap Spreads written by Barry Eichengreen and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Financial crises categories.
How did the Subprime Crisis, a problem in a small corner of U.S. financial markets, affect the entire global banking system? To shed light on this question we use principal components analysis to identify common factors in the movement of banks' credit default swap spreads. We find that fortunes of international banks rise and fall together even in normal times along with short-term global economic prospects. But the importance of common factors rose steadily to exceptional levels from the outbreak of the Subprime Crisis to past the rescue of Bear Stearns, reflecting a diffuse sense that funding and credit risk was increasing. Following the failure of Lehman Brothers, the interdependencies briefly increased to a new high, before they fell back to the pre-Lehman elevated levels - but now they more clearly reflected heightened funding and counterparty risk. After Lehman's failure, the prospect of global recession became imminent, auguring the further deterioration of banks' loan portfolios. At this point the entire global financial system had become infected.
Credit Default Swap Spreads And Variance Risk Premia Vrp
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Author : Hao Wang
language : en
Publisher: DIANE Publishing
Release Date : 2011-04
Credit Default Swap Spreads And Variance Risk Premia Vrp written by Hao Wang and has been published by DIANE Publishing this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011-04 with Reference categories.