Do correlated defaults matter for CDS premia? An empirical analysis
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| 008 | 210128e20151001xx s 000 0 eng | ||
| 024 | 7 | 0 | |a 10.1007/s11147-015-9109-4 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s11147-015-9109-4 | ||
| 245 | 0 | 0 | |a Do correlated defaults matter for CDS premia? An empirical analysis |h [Elektronische Daten] |c [Christian Koziol, Philipp Koziol, Thomas Schön] |
| 520 | 3 | |a Correlated default factors and systemic risk are clearly priced in credit portfolio securities such as CDOs or index CDSs. In this paper we study an extensive CDX data set for evidence of whether correlated default factors are also present in the underlying CDS market. We develop a cash-flow-based top-down approach for modeling CDSs from which we can derive the following major contributions: (1) Correlated default factors did not matter for CDS prices prior to the financial crisis in 2008. During and after the crisis, however, their importance increased strongly. (2) We observe that correlated default factors primarily impact on the CDS prices of firms with an overall low CDS level. (3) Idiosyncratic risk factors for each single CDS play a major (minor) role when the CDS premia are high (low). | |
| 540 | |a European Union, 2015 | ||
| 690 | 7 | |a Correlated defaults |2 nationallicence | |
| 690 | 7 | |a Systemic risk |2 nationallicence | |
| 690 | 7 | |a Idiosyncratic risk |2 nationallicence | |
| 690 | 7 | |a Collateralized debt obligations |2 nationallicence | |
| 690 | 7 | |a Credit default swaps |2 nationallicence | |
| 690 | 7 | |a Credit derivatives |2 nationallicence | |
| 700 | 1 | |a Koziol |D Christian |u Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany |4 aut | |
| 700 | 1 | |a Koziol |D Philipp |u Deutsche Bundesbank, Wilhelm-Epstein-Str. 14, 60431, Frankfurt, Germany |4 aut | |
| 700 | 1 | |a Schön |D Thomas |u Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany |4 aut | |
| 773 | 0 | |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 191-224 |x 1380-6645 |q 18:3<191 |1 2015 |2 18 |o 11147 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s11147-015-9109-4 |q text/html |z Onlinezugriff via DOI |
| 898 | |a BK010053 |b XK010053 |c XK010000 | ||
| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s11147-015-9109-4 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Koziol |D Christian |u Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Koziol |D Philipp |u Deutsche Bundesbank, Wilhelm-Epstein-Str. 14, 60431, Frankfurt, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 700 |E 1- |a Schön |D Thomas |u Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Review of Derivatives Research |d Springer US; http://www.springer-ny.com |g 18/3(2015-10-01), 191-224 |x 1380-6645 |q 18:3<191 |1 2015 |2 18 |o 11147 | ||