Despite the importance of credit derivatives swap (CDS) in the financial markets, relatively little research about the sources of commonality of these financial products has appeared. This chapter investigates these issues using four different methodologies. First, the authors perform a simple dynamic correlation analysis. Second, they use principal component analysis to estimate the number and importance of common factors driving the changes in the CDS indexes. Third, they consider the exceedence correlation (EC) of Longin and Solnik to investigate the heterogeneity of the exposures to different observable factors. Fourth, the authors perform a quantile regression to investigate the heterogeneity of the exposures among different states of the common factors. The chapter describes the data and presents the different approaches used to investigate the linearity of the relation across CDS and its stability. The credit risk is more largely a global common factor than a sectorspecific phenomena.

CDS Industrial Sector Indices, Credit and Liquidity RiskCredit Securitizations and Derivatives

CAPORIN, MASSIMILIANO;
2013

Abstract

Despite the importance of credit derivatives swap (CDS) in the financial markets, relatively little research about the sources of commonality of these financial products has appeared. This chapter investigates these issues using four different methodologies. First, the authors perform a simple dynamic correlation analysis. Second, they use principal component analysis to estimate the number and importance of common factors driving the changes in the CDS indexes. Third, they consider the exceedence correlation (EC) of Longin and Solnik to investigate the heterogeneity of the exposures to different observable factors. Fourth, the authors perform a quantile regression to investigate the heterogeneity of the exposures among different states of the common factors. The chapter describes the data and presents the different approaches used to investigate the linearity of the relation across CDS and its stability. The credit risk is more largely a global common factor than a sectorspecific phenomena.
2013
Credit Securitizations and Derivatives
9781118818503
9781119963967
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11577/2682675
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