Is tail risk priced in credit default swap premia?

DOI10.1093/ROF/RFV008zbMATH Open1404.62108OpenAlexW2104479834MaRDI QIDQ4554763FDOQ4554763

Authors: 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

Recommendations

• Liquidity tail risk and credit default swap spreads
• The determinants of CDS spreads: evidence from the model space
• Corporate credit risk premia
• Common factors in credit defaults swap markets
• Restructuring risk in credit default swaps: an empirical analysis

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)

Cited In (7)

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

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