Leverage constraints and investors' choice of underlyings
In: Journal of Banking and Finance, 107150.
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In: Journal of Banking and Finance, 107150.
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In: Contemporary Economics, Band 8, Heft 1, S. 113-118
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In: International journal of trade and global markets, Band 6, Heft 4, S. 384
ISSN: 1742-755X
In: Discussion paper no 2016, 43
We apply Bayesian Model Averaging and a frequentistic model space analysis to assess the pricing-determinants of credit default swaps (CDS). Our study focuses on the complete model space of plausible models covering most of the variables and specifications used elsewhere in the literature, including different copula models. The approach followed supports ultimate transparency and robustness for the empirical study at hand. Using a large data-set of CDS contracts we find that CDS price dynamics can be mainly explained by factors describing firms' sensitivity to extreme market movements. More precisely, our results suggest that dynamic copula based measures of tail dependence incorporate almost all essential pricing information making other potential determinants such as Merton-type factors or variables measuring the systematic market evolution - based on simple means or principal component analysis - negligible.
In: Finance Research Letters, 104786
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In: Bundesbank Discussion Paper No. 43/2016
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In: Journal of Banking and Finance, 79, 57–73.
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In: Zeitschrift für die gesamte Versicherungswissenschaft, Band 104, Heft 2, S. 113-129
ISSN: 1865-9748
In: The quarterly review of economics and finance, Band 89, S. 174-187
ISSN: 1062-9769
In: Journal of Financial Markets, Forthcoming
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Working paper
In: Journal of Behavioral and Experimental Finance, 100924.
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In: TAF Working Paper No. 66 / January 2022
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In: Journal of Business Ethics, forthcoming.
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Working paper
In: Economics Letters, Band 184, Heft 108653
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