caa a22 4500 605451117 CHVBK 20210128100150.0 cr unu---uuuuu 210128e20151001xx s 000 0 eng 10.1007/s11147-015-9109-4 doi (NATIONALLICENCE)springer-10.1007/s11147-015-9109-4 Do correlated defaults matter for CDS premia? An empirical analysis [Elektronische Daten] [Christian Koziol, Philipp Koziol, Thomas Schön] 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). European Union, 2015 Correlated defaults nationallicence Systemic risk nationallicence Idiosyncratic risk nationallicence Collateralized debt obligations nationallicence Credit default swaps nationallicence Credit derivatives nationallicence Koziol Christian Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany aut Koziol Philipp Deutsche Bundesbank, Wilhelm-Epstein-Str. 14, 60431, Frankfurt, Germany aut Schön Thomas Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany aut Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 191-224 1380-6645 18:3<191 2015 18 11147 https://doi.org/10.1007/s11147-015-9109-4 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s11147-015-9109-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Koziol Christian Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany aut NATIONALLICENCE 700 1- Koziol Philipp Deutsche Bundesbank, Wilhelm-Epstein-Str. 14, 60431, Frankfurt, Germany aut NATIONALLICENCE 700 1- Schön Thomas Department of Finance, University of Tübingen, Nauklerstr. 47, 72074, Tübingen, Germany aut NATIONALLICENCE 773 0- Review of Derivatives Research Springer US; http://www.springer-ny.com 18/3(2015-10-01), 191-224 1380-6645 18:3<191 2015 18 11147