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CDX and iTraxx and their relation to the systemically important financial institutions : evidence from the 2008 - 2009 financial crisis

Calice, Giovanni - In: Journal of international financial markets, … 32 (2014), pp. 20-37

Persistent link: https://www.econbiz.de/10011299808

Credit Derivatives and the Default Risk of Large Complex Financial Institutions

Calice, Giovanni; Ioannidis, Christos; Williams, Julian - In: Journal of Financial Services Research 42 (2012) 1, pp. 85-107

Persistent link: https://www.econbiz.de/10010863584

CDX and iTraxx and their relation to the systemically important financial institutions: Evidence from the 2008–2009 financial crisis

Calice, Giovanni - In: Journal of International Financial Markets, … 32 (2014) C, pp. 20-37

This paper empirically investigates the linkages between the CDS index market and the equity returns of a sample of systemically important financial institutions (SIFIs). Both the 5-year investment grade iTraxx Europe and the 5-year investment grade CDX North America indexes are adopted as a...

Persistent link: https://www.econbiz.de/10010906348

Credit derivatives and the default risk of large complex financial institutions

Calice, Giovanni; Ioannidis, Christos; Williams, Julian - In: Journal of financial services research : JFSR 42 (2012) 1/2, pp. 85-107

Persistent link: https://www.econbiz.de/10009714834