Hedging Stock Sector Risk with Credit Default Swaps

This study examines the potential risk reducing benefits of credit default swaps (CDS) against risk in U.S. stock market sectors from 2004-2011. Tests of GARCH dynamic conditional correlation coefficients indicate that CDS serve as an effective hedge against risk in all stock sectors. CDS also provide a safe haven in times of extreme stock market volatility and during periods of financial crisis in a limited number of sectors

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Year of publication:	2015
Authors:	Ratner, Mitchell
Other Persons:	Chiu, Chih-Chieh (Jason) (contributor)
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Hedging \| Kreditderivat \| Credit derivative \| Risikomanagement \| Risk management \| Kreditrisiko \| Credit risk \| Risiko \| Risk \| Derivat \| Derivative \| Theorie \| Theory \| Swap \| Kreditversicherung \| Credit insurance

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Extent:	1 Online-Ressource (26 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: International Review of Financial Analysis, Vol. 30, 2013 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments April 3, 2013 erstellt
Classification:	G11 - Portfolio Choice ; G2 - Financial Institutions and Services
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013019344