Is Tail Risk Priced in Credit Default Swap Premia?

DOI10.1093/rof/rfv008zbMath1404.62108OpenAlexW2104479834MaRDI QIDQ4554763

Christian Meine, Hendrik Supper, Gregor N. F. Weiß

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2003/30406

zbMATH Keywords

default riskcredit default swapCDS tail beta

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40)

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The determinants of CDS spreads: evidence from the model space ⋮ A comparison of tail dependence estimators ⋮ Liquidity tail risk and credit default swap spreads ⋮ The role of the leverage effect in the price discovery process of credit markets ⋮ Extreme dependence in investor attention and stock returns – consequences for forecasting stock returns and measuring systemic risk

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