المستودع الأكاديمي جامعة المدينة

Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery

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dc.creator Dötz, Niko
dc.date 2007
dc.date.accessioned 2013-10-16T07:06:45Z
dc.date.available 2013-10-16T07:06:45Z
dc.date.issued 2013-10-16
dc.identifier http://hdl.handle.net/10419/19767
dc.identifier ppn:539958891
dc.identifier RePEc:zbw:bubdp2:5904
dc.identifier.uri http://koha.mediu.edu.my:8181/xmlui/handle/10419/19767
dc.description 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 new data on a more liquid CDS market. Unlike previous studies, which look at price formation in a time-invariant context, the contributions of both markets to price discovery are analysed in a timevariant context. We devote particular attention to the question of whether such information input is stable in times of crisis and find that, although the CDS market slightly dominates the price discovery process, its contribution fell visibly during the turbulence on the credit markets in early 2005 in favour of that of the bond market.
dc.language eng
dc.publisher
dc.relation Discussion Paper, Series 2: Banking and Financial Supervision 2007,08
dc.rights http://www.econstor.eu/dspace/Nutzungsbedingungen
dc.subject G14
dc.subject G10
dc.subject C32
dc.subject ddc:330
dc.subject price discovery
dc.subject credit risk
dc.subject corporate bonds
dc.subject credit derivatives
dc.subject Kalman filter
dc.subject Risikoprämie
dc.subject Kreditrisiko
dc.subject Credit Default Swap
dc.subject Kreditversicherung
dc.subject Industrieobligation
dc.subject Zustandsraummodell
dc.subject Schätzung
dc.subject Zins
dc.subject Europa
dc.title Time-varying contributions by the corporate bond and CDS markets to credit risk price discovery
dc.type doc-type:workingPaper


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