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Credit default swap prices as risk indicators of listed German banks

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Author Info

  • Klaus Düllmann

    ()

  • Agnieszka Sosinska

    ()

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    Abstract

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    File URL: http://hdl.handle.net/10.1007/s11408-007-0053-7
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    Bibliographic Info

    Article provided by Springer in its journal Financial Markets and Portfolio Management.

    Volume (Year): 21 (2007)
    Issue (Month): 3 (September)
    Pages: 269-292
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    Handle: RePEc:kap:fmktpm:v:21:y:2007:i:3:p:269-292

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    Web page: http://www.springerlink.com/link.asp?id=119763

    For corrections or technical questions regarding this item, or to correct its listing, contact: (Guenther Eichhorn) or (Christopher F. Baum).

    Related research

    Keywords: Credit default swaps; Credit risk; Market indicators; Reduced-form models; G 12; G 21; G 13; C 13;

    References

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    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    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. John Krainer & Jose A. Lopez, 2001. "Incorporating equity market information into supervisory monitoring models," Working Papers in Applied Economic Theory 2001-14, Federal Reserve Bank of San Francisco.
    3. Diana Hancock & Myron Kwast, 2001. "Using Subordinated Debt to Monitor Bank Holding Companies: Is it Feasible?," Journal of Financial Services Research, Springer, vol. 20(2), pages 147-187, October.
    4. Diana Hancock & Myron L. Kwast, 2001. "Using subordinated debt to monitor bank holding companies: is it feasible?," Finance and Economics Discussion Series 2001-22, Board of Governors of the Federal Reserve System (U.S.).
    5. 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 637-54, May-June.
    6. Breusch, T S & Pagan, A R, 1979. "A Simple Test for Heteroscedasticity and Random Coefficient Variation," Econometrica, Econometric Society, vol. 47(5), pages 1287-94, September.
    7. 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.
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    Citations

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    Cited by:
    1. Nikolas Rokkanen, 2009. "Lemmings in the bond market? An empirical analysis of the term structure of credit spreads," Financial Markets and Portfolio Management, Springer, vol. 23(1), pages 31-57, March.
    2. 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.
    3. Robin Grieves & Steven Mann, 2011. "The search for relative value in bonds," Financial Markets and Portfolio Management, Springer, vol. 25(1), pages 95-106, March.
    4. Sarai Criado & Adrian van Rixtel, 2008. "Structured finance and the financial turmoil of 2007-2008: and introductory overview," Banco de España Occasional Papers 0808, Banco de España.

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