Linkages between bonds and credit default swaps of the European financial institutions

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216224%3A14560%2F13%3A00069274" target="_blank" >RIV/00216224:14560/13:00069274 - isvavai.cz</a>
Result on the web
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DOI - Digital Object Identifier
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Result language
angličtina
Original language name
Linkages between bonds and credit default swaps of the European financial institutions
Original language description
Credit default swap markets have been considered as a leading indicator of the future development of creditworthiness, which can point out the potential situation in economy. The aim of the study is to find out whether the role of credit default swap markets and bond markets has been changed by the financial crisis and the debt crisis. The attention is paid to the credit default swaps and bonds of 22 financial institutions, which are included in Markit iTraxx Europe Senior Financial index. Granger causality tests are employed in order to discover short-run causality. Findings can be favourable for all participants in the financial markets, especially for investors and regulators as a possible indicator of credit risk.
Czech name
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Czech description
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Publication year
2013
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Article name in the collection
European Financial Systems 2013. Proceedings of the 10th International Scientific Conference
ISBN
9788021062948
ISSN
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e-ISSN
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Number of pages
6
Pages from-to
158-163
Publisher name
Masaryk University
Place of publication
Brno
Event location
Telč
Event date
Jan 1, 2013
Type of event by nationality
WRD - Celosvětová akce
UT code for WoS article
000324654400022

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