- Out-of-Stock
Availability: Out of stock
The Link between Eurozone Sovereign Debt and CDS Prices [extrait BMI 117]
Author : O'Kane Dominic
- Write a review
€50.00
Tax included
Version numérique PDF
We perform a theoretical and empirical analysis of the relationship between the price of Eurozone sovereign-linked credit default swaps (CDS) and the same sovereign bond markets during the Eurozone debt crisis of 2009-2011. We first present a simple model which establishes the no-arbitrage relationship between CDS and bond yield spreads. We then test this relationship empirically and explain why the market may deviate from it. This includes the different currencies of denomination of market-standard CDS and their deliverable obligations. We also examine whether changes in CDS spreads cause changes in bond spreads, and vice-versa, in a Granger sense. The hypothesis of cointegration between CDS and bond spreads for most Eurozone sovereigns is rejected and we suggest that this may be due to the currency effect. We do find evidence for a Granger causal relationship with a one day lag from CDS to bonds for Greece and Spain, the reverse relationship for France and Italy and a feedback relationship for Ireland and Portugal.Auteurs :O'Kane Dominic
Extrait de la revue BMI 117
BMI117-1108579
New
16 other products in the same category:
Availability: Out of stock
Sommaire
Articles
- Option Pricing and Hedging in the Presence of Cross-Hedge Risk
- Optimal Economic Capital and Investment Decisions for a Non-Life Insurance Company
- Implied Distribution as a Function of the Volatility Smile
Focus On
- Regulatory Governance Mechanisms in Banks
Availability: Out of stock
The Great Divergence: French Equity Premium is Lower and Riskier than the US since WWI
Is the KIID Sufficient to Associate Portfolios to Investor Profiles?
Momentum Investing over the Last Twenty Years in France, its Persistence and the Effects of the Financial Crisis
On the Performance of Socially Responsible Investing: Further Evidence
Focus on... The Individual Investor
Availability: Out of stock
- Refi nancing and Shareholder Value: Covered Bond Issuances between 2007 and 2010
- Evolution of the US Stock Market Risk Premium in Periods of Crisis
- Investors Expectations and Preferences during the Financial Crisis and the Bursting Internet Bubble
- Effi ciency in Islamic and Conventional Banks
- Corporate Governance of Banks and Risk Management by Stockholders
Availability: Out of stock
Availability: Out of stock
An arbitrage-free interest rate model consistent with economic constraints for Long-Term Asset Liability Management
The Influence of Variable Selection Methods on the Accuracy of Bankruptcy Prediction Models
- Extendible Options with Modifiable Underlying Assets
- The Perception of Dividends by Managers
- Mobilizing Investor Networks behind Shareholder Activism in France
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Introducing a New Form of Volatility Index: the Cross-Sectional Volatility Index
- The Link between Eurozone Sovereign Debt and CDS Prices
- Performance of Socially Responsible Investment Funds against an Effi cient SRI Index: The Impact of Benchmark Choice when Evaluating Active Managers
Focus On
- Shedding Light on Non-Financial Risks, A European Survey
