Purpose – The aim of this paper is to study the impact of equity returns volatility of reference entities on credit‐default swap rates using a new dataset from the Japanese market. Design/methodology/approach – Using a copula approach, the paper models the different relationships that can...

The aim of this paper is to use copulas functions to capture the different structures of dependency when we deal with portfolios of dependent credit risks and a basket of credit derivatives. We first present the wellknown result for the pricing of default risk, when there is only one defaultable...

Purpose: This paper aims to investigate whether Islamic indexes, Bitcoin and gold still act as hedges or/and “safe-haven” assets during the COVID-19 pandemic crisis. This paper examines the role of the Morgan Stanley Capital International all-country world index, Islamic index, gold and...