Advanced Search

The Impact Of Stock Returns Volatility On Credit Default Swap Rates: A Copula Study

Contents:

Author Info

  • FATHI ABID

    () (University of Sfax, UR: MO.DES.FI, Tunisia, Faculty of Business and Economics, Road of the Airport Km 4, Tunisia)

  • NADER NAIFAR

    () (University of Sfax, UR: MO.DES.FI, Tunisia, Faculty of Business and Economics, Road of the Airport Km 4, Tunisia)

Registered author(s):

    Abstract

    The aim of this paper is to study the impact of stock returns volatility of reference entities on credit default swap rates using a new dataset from the Japanese market. The majority of empirical research suggests the inadequacy of multinormal distribution and then the failure of methods based on correlation for measuring the structure of dependency. Using a copula approach, we can model the different relationships that can exist in different ranges of behavior. We study the bivariate distributions of credit default swap rates and the measure of stock return volatility estimated with GARCH (1,1) and focus on one parameter Archimedean copula. Starting from the empirical rank correlation statistics (Kendall's tau and Spearman's rho), we estimate the parameter values of each copula function presented in our study. Then, we choose the appropriate Archimedean copula that better fit to our data. We emphasize the finding that pairs with higher rating present a weaker dependence coefficient and then, the impact of stock return volatility on credit default swap rates is higher for the lowest rating class.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=pdf&id=pii:S0219024905003372
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.worldscinet.com/cgi-bin/details.cgi?type=html&id=pii:S0219024905003372
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Bibliographic Info

    Article provided by World Scientific Publishing Co. Pte. Ltd. in its journal International Journal of Theoretical and Applied Finance.

    Volume (Year): 08 (2005)
    Issue (Month): 08 ()
    Pages: 1135-1155
    Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
    Handle: RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155

    Contact details of provider:
    Web page: http://www.worldscinet.com/ijtaf/ijtaf.shtml

    Order Information:
    Email:

    For corrections or technical questions regarding this item, or to correct its listing, contact: (Tai Tone Lim).

    Related research

    Keywords: Copulas functions; credit default swap; volatility; bivariate distribution; non-parametric estimation; semi-parametric estimation;

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    Cited by:
    1. Naifar, Nader, 2008. "La récente crise financière internationale cause t-elle la crise des marchés des swaps sur défaut de crédit?
      [Does the recent financial crisis affect credit default swap markets?]      ," MPRA Paper 11909, University Library of Munich, Germany.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:08:y:2005:i:08:p:1135-1155

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.