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2014-08-29Diskussionspapier DOI: 10.18452/4526
The integration ofcredit default swapmarkets in the pre andpost-subprime crisis incommon stochastic trends
dc.contributor.authorChen, Cathy Yi-Hsuan
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorPham-Thu, Hien
dc.date.accessioned2017-06-16T01:03:37Z
dc.date.available2017-06-16T01:03:37Z
dc.date.created2014-09-11
dc.date.issued2014-08-29
dc.date.submitted2014-08-29
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5178
dc.description.abstractIt was evident that credit default swap (CDS) spreads have been highly correlated during the recent financial crisis. Motivated by this evidence, this study attempts to investigate the extent to which CDS markets across regions, maturities and credit ratings have integrated more in crisis. By applying the Panel Analysis of Non-stationarity in Idiosyncratic and Common components method (PANIC) developed by Bai and Ng (2004), we observe a potential shift in CDS integration between the pre- and post-Lehman collapse period, indicating that the system of CDS spreads is tied to a long-run equilibrium path. This finding contributes to a credit risk management task and also coincides with the missions of Basel III since the more integrated CDS markets could result in correlated default, credit contagion and simultaneous downgrading in the future.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectcointegrationeng
dc.subjectCredit default swapseng
dc.subjectcommon stochastic trendeng
dc.subjectcorrelated defaulteng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleThe integration ofcredit default swapmarkets in the pre andpost-subprime crisis incommon stochastic trends
dc.typeworkingPaper
dc.identifier.urnurn:nbn:de:kobv:11-100220174
dc.identifier.doihttp://dx.doi.org/10.18452/4526
local.edoc.pages30
local.edoc.type-nameDiskussionspapier
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-year2014
dc.identifier.zdb2195055-6
bua.series.nameSonderforschungsbereich 649: Ökonomisches Risiko
bua.series.issuenumber2014,39

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