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Credit default swap prices as risk indicators of listed German banks

Author

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  • Klaus Düllmann
  • Agnieszka Sosinska
Abstract
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Suggested Citation

  • Klaus Düllmann & Agnieszka Sosinska, 2007. "Credit default swap prices as risk indicators of listed German banks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 21(3), pages 269-292, September.
    • Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:269-292
    DOI: 10.1007/s11408-007-0053-7
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    References listed on IDEAS

    as
    1. Lopez, Jose A., 2004. "The empirical relationship between average asset correlation, firm probability of default, and asset size," Journal of Financial Intermediation, Elsevier, vol. 13(2), pages 265-283, April.
    2. Didier Cossin & Tomas Hricko & Daniel Aunon-Nerin & Zhijiang Huang, 2002. "Exploring for the Determinants of Credit Risk in Credit Default Swap Transaction Data: Is Fixed-Income Markets’ Information Suffcient to Evaluate Credit Risk?," FAME Research Paper Series rp65, International Center for Financial Asset Management and Engineering.
    3. Diana Hancock & Myron Kwast, 2001. "Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?," Journal of Financial Services Research, Springer;Western Finance Association, vol. 20(2), pages 147-187, October.
    4. Jeffery D Amato & Eli M Remolona, 2003. "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
    5. Eli M Remolona & Philip D Wooldridge, 2003. "The euro interest rate swap market," BIS Quarterly Review, Bank for International Settlements, March.
    6. Norden, Lars & Weber, Martin, 2004. "The comovement of credit default swap, bond and stock markets: An empirical analysis," CFS Working Paper Series 2004/20, Center for Financial Studies (CFS).
    7. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-654, May-June.
    8. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-1294, September.
    9. Hull, John & Predescu, Mirela & White, Alan, 2004. "The relationship between credit default swap spreads, bond yields, and credit rating announcements," Journal of Banking & Finance, Elsevier, vol. 28(11), pages 2789-2811, November.
    10. Krainer, John & Lopez, Jose A, 2004. "Incorporating Equity Market Information into Supervisory Monitoring Models," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 36(6), pages 1043-1067, December.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. J. Baixauli & Susana Alvarez, 2012. "Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 115-129, August.
    2. Annaert, Jan & De Ceuster, Marc & Van Roy, Patrick & Vespro, Cristina, 2013. "What determines Euro area bank CDS spreads?," Journal of International Money and Finance, Elsevier, vol. 32(C), pages 444-461.
    3. Chao, Shih-kang & Härdle, Wolfgang Karl & Hien, Pham-thu, 2014. "Credit risk calibration based on CDS spreads," SFB 649 Discussion Papers 2014-026, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    4. repec:hum:wpaper:sfb649dp2014-026 is not listed on IDEAS
    5. Benbouzid, Nadia & Mallick, Sushanta & Pilbeam, Keith, 2018. "The housing market and the credit default swap premium in the UK banking sector: A VAR approach," Research in International Business and Finance, Elsevier, vol. 44(C), pages 1-15.
    6. Benbouzid, Nadia & Mallick, Sushanta K. & Sousa, Ricardo M., 2017. "An international forensic perspective of the determinants of bank CDS spreads," Journal of Financial Stability, Elsevier, vol. 33(C), pages 60-70.
    7. Klomp, Jeroen, 2013. "Government interventions and default risk: Does one size fit all?," Journal of Financial Stability, Elsevier, vol. 9(4), pages 641-653.
    8. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(1), pages 31-57, March.
    9. Banerjee, Anurag & Hung, Chi-Hsiou Daniel & Lo, Kai Lisa, 2016. "An anatomy of credit risk transfer between sovereign and financials in the Eurozone crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 41(C), pages 102-120.
    10. J. Samuel Baixauli & Susana Alvarez, 2010. "The Role of Market-Implied Severity Modeling for Credit VaR," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 337-353, November.
    11. Robin Grieves & Steven Mann, 2011. "The search for relative value in bonds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 25(1), pages 95-106, March.
    12. Sarai Criado & Adrian van Rixtel, 2008. "Structured finance and the financial turmoil of 2007-2008: and introductory overview," Occasional Papers 0808, Banco de España.

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