We investigate the risk of holding credit default swaps (CDS) in the trading book and compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity using a sample of CDS stock price pairs for 86 actively traded firms over the period from March 2003 to...

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm’s equity. Our sample consists of CDS stock price pairs for 86 actively traded firms over the period...

We study the risk of holding credit default swaps (CDS) in the trading book. In particular, we compare the Value at Risk (VaR) of a CDS position to the VaR for investing in the respective firm's equity. Our sample consists of CDS – stock price pairs for 86 actively traded firms over the period...

Die gegenwärtige Krise zeigt einmal mehr, dass die Finanzmärkte und die Realwirtschaft einander stark beeinflussen können. Diese Erfahrung weckt wieder verstärktes Interesse an einer Erforschung der Verflechtungen zwischen den Finanzmärkten und realwirtschaftlichen Entwicklungen. In diesem...