Advanced Search
MyIDEAS: Login to save this paper or follow this series

The dynamics of short- and long-term CDS-spreads of banks

Contents:

Author Info

  • Almer, Thomas
  • Heidorn, Thomas
  • Schmaltz, Christian

Abstract

This paper studies 'Stylised Facts' and 'Determinants' of short-and long-term CDS-spreads of banks. As short-term spreads we choose 6M-, as long-term spreads we choose 5Y-spreads. In the section 'Stylised Facts' we found that the correlation between short-and long-term spreads for the total period is high (97%). However, the correlation in sub-periods varies across all possible correlations. Particularly, spreads can have negative correlation. In contrast to [Covitz and Downing, 2007], we find high positive (Covitz/Downing: high negative) correlation for turbulent market circumstances. In the section 'Deteminants' we confirm the Merton-factors (stock price, stock price volatility, interest rate level) for the 5Y-segment, but not for the 6M-segment. Furthermore, we do not find any empirical support that short-term spreads are particularly sensitive to illiquidity factors. In that sense, we also contrast [Covitz and Downing, 2007]. --

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://econstor.eu/bitstream/10419/27861/1/577675591.PDF
Download Restriction: no

Bibliographic Info

Paper provided by Frankfurt School of Finance and Management in its series Frankfurt School - Working Paper Series with number 95.

as in new window
Length:
Date of creation: 2008
Date of revision:
Handle: RePEc:zbw:fsfmwp:95

Contact details of provider:
Postal: Sonnemannstraße 9-11, 60314 Frankfurt am Main
Phone: 069 154008-0
Web page: http://www.frankfurt-school.de/
More information through EDIRC

Related research

Keywords: Liquidity; insolvency; banks;

Find related papers by JEL classification:

References

References listed on IDEAS
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.:
as in new window
  1. Hirsch, Christian & Bannier, Christina E., 2007. "The economics of rating watchlists: evidence from rating changes," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 88, Frankfurt School of Finance and Management.
  2. Heidorn, Thomas & Kaiser, Dieter G. & Muschiol, Andrea, 2007. "Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 77, Frankfurt School of Finance and Management.
  3. Anil Kashyap & Raghuram Rajan & Jeremy S. Stein, 1998. "Banks as liquidity providers: an explanation for the co-existence of lending and deposit-taking," Proceedings, Federal Reserve Bank of Chicago 582, Federal Reserve Bank of Chicago.
  4. Heidorn, Thomas & Hoppe, Christian & Kaiser, Dieter G., 2005. "Möglichkeiten der Strukturierung von Hedgefondsportfolios," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 68, Frankfurt School of Finance and Management.
  5. Merton, Robert C., 1973. "On the pricing of corporate debt: the risk structure of interest rates," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 684-73., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  6. Ansgar Belke & Thorsten Polleit, 2006. "How the ECB and the US Fed Set Interest Rates," Diskussionspapiere aus dem Institut für Volkswirtschaftslehre der Universität Hohenheim, Department of Economics, University of Hohenheim, Germany 269/2006, Department of Economics, University of Hohenheim, Germany.
  7. Gerdesmeier, Dieter & Roffia, Barbara, 2005. "The relevance of real-time data in estimating reaction functions for the euro area," The North American Journal of Economics and Finance, Elsevier, Elsevier, vol. 16(3), pages 293-307, December.
  8. Dickler, Robert A. & Schalast, Christoph, 2006. "Distressed debt in Germany: What's next? Possible innovative exit strategies," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 73, Frankfurt School of Finance and Management.
  9. Anders, Dietmar & Binder, Andreas & Hesdahl, Ralf & Schalast, Christoph & Thöne, Thomas, 2004. "Aktuelle Fragen des Bank- und Kapitalmarktrechts I: Non-Performing-Loans/Faule Kredite - Handel, Work-Out, Outsourcing und Securitisation," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 54, Frankfurt School of Finance and Management.
  10. Schalast, Christoph & Stralkowski, Ingo, 2008. "10 Jahre deutsche Buyouts," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 89, Frankfurt School of Finance and Management.
  11. Gerdesmeier, Dieter & Roffia, Barbara, 2007. "Monetary analysis: a VAR perspective," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 78, Frankfurt School of Finance and Management.
  12. Heidorn, Thomas & Trautmann, Alexandra, 2005. "Niederschlagsderivate," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 69, Frankfurt School of Finance and Management.
  13. Hölscher, Luise & Harding, Perham & Becker, Gernot M., 2005. "Financing the embedded value of life insurance portfolios," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 64, Frankfurt School of Finance and Management.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Beyna, Ingo & Wystup, Uwe, 2010. "On the calibration of the Cheyette interest rate model," CPQF Working Paper Series 25, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
  2. Bannier, Christina E., 2009. "Is there a hold-up benefit in heterogeneous multiple bank financing?," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 117, Frankfurt School of Finance and Management.
  3. Herrmann-Pillath, Carsten, 2011. "The evolutionary approach to entropy: Reconciling Georgescu-Roegen's natural philosophy with the maximum entropy framework," Ecological Economics, Elsevier, Elsevier, vol. 70(4), pages 606-616, February.
  4. Heidorn, Thomas & Winker, Michael & Löw, Christian, 2010. "Funktionsweise und Replikationstil europäischer Exchange Traded Funds auf Aktienindices," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 139, Frankfurt School of Finance and Management.
  5. Heidorn, Thomas & Kaiser, Dieter G. & Voinea, Andre, 2010. "The value-added of investable hedge fund indices," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 141, Frankfurt School of Finance and Management.
  6. Herrmann-Pillath, Carsten, 2010. "Rethinking evolution, entropy and economics: A triadic conceptual framework for the maximum entropy principle as applied to the growth of knowledge," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management 146, Frankfurt School of Finance and Management.

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:zbw:fsfmwp:95. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (ZBW - German National Library of Economics).

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.