This paper analyzes the empirical relationship between credit default swap, bond and stock markets during the period … autoregressive model and the adjustment between markets caused by cointegration. First, we find that stock returns lead CDS and bond … spread changes. Second, CDS spread changes Granger cause bond spread changes for a higher number of firms than vice versa …

volatility risk, for dollar, euro and pound rates at a daily frequency, between October 1998 and August 2006. The measurement of … the volatility risk premium rests on a simple model according to which variance forecasts are generated under the … large - negative - compensation for volatility risk, a component which was smaller in absolute terms - but not relative to …

almost instantaneously incorporated into T-bond futures prices. Nevertheless, large surprises, and 'bad' news in particular … differences of opinion is left, and hence volatility is decreased. …

to repeatedly earn the difference between the bond asset swap spread and the CDS, known as the basis. We show that the …We analyze trading opportunities that arise from differences between the bond and the CDS market. By simultaneously … entering a position in a CDS contract and the underlying bond, traders can build a default-risk free position that allows them …

In this paper we model the volatility of the spread between the overnight interest rate and the central bank policy … is the main determinant of the volatility of the policy spread, but also that private bank credit risk has become more … 2007. During the crisis, the policy spread exhibited signs of volatility, owing to the breakdown in interbank market …

-portfolio specific volatility indices called portfolio risk drivers. The dynamics of the risk drivers are modelled by multiplicative …. The proposed risk drivers capture the volatility structure of asset returns in different industry sectors. A …

liquidity shock, separating information maximum likelihood estimation of the integrated volatility and covariance with micro …-market noise, stress testing correlation matrices for risk management, whether bank relationship matters for corporate risk taking … illustrations, EVT and tail-risk modelling, with evidence from market indices and volatility series, the economics of data using …

Zentrale Maßnahmen zur Überwindung der Bankenkrisen der 90er Jahre in Schweden und Finnland waren in beiden Ländern der …

lending behavior and risk sensitivity of a risk-neutral bank. CDS contracts may be used to hedge a bank's credit risk exposure … at a certain (potentially distorted) price. Regulation is found to induce the risk-neutral bank to behave in a more risk … credit risk. Under the substitution approach in Basel II (and III) a risk-neutral bank will over-, fully or under-hedge its …