CreditGrades and the iTraxx CDS Index Market

@inproceedings{Bystrm2006CreditGradesAT,
  title={CreditGrades and the iTraxx CDS Index Market},
  author={Hans Bystr{\"o}m},
  year={2006}
}
In the study reported, the CreditGrades model was used to calculate credit default swap spreads and the spreads were compared with empirically observed CDS spreads for eight iTraxx indices covering Europe. Theoretical and empirical spread changes were found to be significantly correlated. Also, lagged theoretical spread changes were correlated with current iTraxx spread changes. The correlations indicate a close relationship between the stock market and the CDS market and also indicate some… CONTINUE READING

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Credit default swap (CDS) ındexes and their usage in risk management by Turkish banks

Sinan Cafrı
  • 2008
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