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We study the lead–lag dependence between aggregate credit spreads and equity prices as well as implied equity volatility, which is important for proper credit risk assessment. Our analysis includes daily quotes of the iTraxx Europe index, the Dow Jones Euro Stoxx 50 index, and the Dow Jones...
Persistent link: https://www.econbiz.de/10011056778
We examine risk factors that explain daily changes in aggregate credit default swap (CDS) spreads before, during and after the 2007–2009 financial crisis. Based on the European iTraxx CDS index universe, we document time-variation in the significance of spread determinants. Before and after...
Persistent link: https://www.econbiz.de/10010577780
Persistent link: https://www.econbiz.de/10005228997
The subprime-related 2007/2008 global financial crisis represented a major economic challenge. In order to prevent such episodes of market failure, it is vital to understand what caused the crisis and which lessons are to be learned. Given the tremendous bailout packages worldwide, we discuss...
Persistent link: https://www.econbiz.de/10008863197