The determinants of the price of credit risk: an empirical analysis of the CDS, bond and equity markets
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| Format: | Thesis Book |
| Language: | English |
| Published: |
2008
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | VIII, 194 S. graph. Darst. |
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MARC
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| 245 | 1 | 0 | |a The determinants of the price of credit risk |b an empirical analysis of the CDS, bond and equity markets |c submitted by Balazs Harasta |
| 264 | 1 | |c 2008 | |
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| 650 | 7 | |a Kreditrisiko |2 stw | |
| 650 | 7 | |a Kreditversicherung |2 stw | |
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| 650 | 7 | |a Theorie |2 stw | |
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| adam_text | Titel: The determinants of the price of credit risk
Autor: Harasta, Balazs
Jahr: 2008
Table of Contents
Table of Contents
1 Introduction.................................................................................1
1.1 Credit and the Financial Markets..................................................................1
1.2 Credit in Academic Research........................................................................3
1.3 Research Questions.......................................................................................5
1.4 Preview of the Results..................................................................................6
2 Introduction to Credit Derivatives...........................................10
2.1 Credit Risk Transfer....................................................................................10
2.2 Credit Derivatives Market Overview..........................................................11
2.3 Credit Default Swaps..................................................................................15
2.4 Basket Default Swaps.................................................................................18
2.5 Credit-linked Notes.....................................................................................20
2.6 Credit Options and Credit Spread Options.................................................21
2.7 Synthetic Collateralized Debt Obligations (CDOs)....................................23
2.8 Credit Indices..............................................................................................26
3 Theory........................................................................................27
3.1 Credit Risk Measurement............................................................................27
3.1.1 Expert Systems..........................................................................................................27
3.1.2 Accounting-based econometric techniques...............................................................28
3.1.3 Neural networks.........................................................................................................30
3.2 Credit Risk Pricing......................................................................................32
3.2.1 Structural Models......................................................................................................32
3.2.2 Reduced Form Models...............................................................................................35
3.3 The Relationship between CDS and credit spreads....................................41
3.3.1 Measuring Credit Spreads.........................................................................................41
3.3.2 The Asset Swap Approach to CDS Pricing...............................................................42
3.3.3 The Basis...................................................................................................................45
4 Determinants of Credit Spread and CDS Spread Changes ...50
4.1 Introduction.................................................................................................50
4.2 Previous Literature......................................................................................52
4.2.1 Overview....................................................................................................................52
4.2.2 Credit Spread Papers.................................................................................................58
4.2.3 CDS Spread Papers....................................................................................................61
4.3 Theory.........................................................................................................63
4.3.1 Structural and Reduced-Form Models.......................................................................63
4.3.2 Determinants of CDS Spread and Credit Spread Changes........................................64
4.4 Data Set.......................................................................................................68
4.5 Descriptive Statistics...................................................................................70
4.6 Correlation Analysis....................................................................................74
4.7 Empirical Test.............................................................................................76
4.7.1 Methodology..............................................................................................................76
4.7.2 Separate Regressions.................................................................................................77
4.7.3 Combined Regressions..............................................................................................81
4.7.4 The Effect of Credit Quality on Explanatory Power and on Sensitivity to
Changes in the Explanatory Variables......................................................................85
4.7.5 Robustness Tests.......................................................................................................88
VI Table of Contents
4.8 Summary and Conclusions.........................................................................92
5 The Dynamic Relationship between CDS, Bond and Equity
Markets..........................................................................94
5.1 Introduction.................................................................................................94
5.2 Literature Review.......................................................................................95
5.3 Data...........................................................................................................100
5.3.1 Construction of the Data Set...................................................................................100
5.3.2 Descriptive Statistics..............................................................................................101
5.4 Lead-lag Relationship between CDS, Bond and Equity Markets.............104
5.4.1 Methodology...........................................................................................................104
5.4.2 Empirical Results....................................................................................................105
5.5 Contribution of CDS and Bond Markets to Credit Risk Price Discovery 109
5.5.1 Methodology...........................................................................................................109
5.5.2 Empirical Results....................................................................................................110
5.6 Summary and Conclusions.......................................................................119
6 The Effect of Rating Changes on Bonds, CDS and Equities ! 21
6.1 Introduction...............................................................................................121
6.2 Previous Literature....................................................................................123
6.3 Theory.......................................................................................................128
6.4 Data Description.......................................................................................131
6.4.1 Data-Set Construction Procedure............................................................................131
6.4.2 Descriptive Statistics..............................................................................................135
6.5 Methodology.............................................................................................137
6.6 Empirical Results......................................................................................141
6.6.1 Downgrade without prior watchlisting...................................................................141
6.6.2 Downgrade with prior watchlisting........................................................................144
6.6.3 Watchlist Negative..................................................................................................146
6.6.4 Upgrade without prior watchlisting........................................................................148
6.6.5 Upgrade with prior watchlisting.............................................................................150
6.6.6 Watchlist positive...................................................................................................152
6.7 Further Analysis........................................................................................154
6.7.1 Asymmetric Reaction Hypothesis...........................................................................154
6.7.2 Cross-Sectional Analysis of CAAYC and CAASC................................................155
6.8 Summary and conclusions........................................................................158
7 Summary and Conclusions...................................................161
7.1 Summary of the Results............................................................................161
7.2 Contribution to Academic Research and Relevance for Market
Participants...............................................................................................162
7.3 Future Research........................................................................................164
Appendix .....................................................................................167
Appendix A: List of Reference Entities.................................................................167
Appendix B: CDS and Credit Spread vs. Equity Markets.....................................168
Appendix C: CDS and Credit Spread vs. Equity Volatility...................................169
Appendix D: Unit Root Tests................................................................................170
Appendix E: Johansen Cointegration Test.............................................................171
Appendix F: Results of the Vector Error Correction Model.................................172
Appendix G: Granger Causality Test.....................................................................174
Table of Contents VII
Appendix H: Cross-sectional Analysis of Price Discovery...................................175
Appendix I: List of Rating Events.........................................................................176
Bibliography......................................................................................179
List of Graphs and Tables
Graph 1: Global Credit Derivatives Market by Notional Amount Outstanding............12
Graph 2: Global Credit Derivatives Market by Product................................................13
Graph 3: Rating of the Reference Entities.....................................................................14
Graph 4: Participants in the Global Credit Derivatives Market....................................15
Graph 5: Credit Default Swap.......................................................................................16
Graph 6: Credit Linked Note.........................................................................................21
Graph 7: Structure of a Collateralised Debt Obligation................................................24
Graph 8: Replication of a Short CDS Position..............................................................44
Graph 9: Cash flows in case of default..........................................................................44
Graph 10: CDS Spreads and Credit Spreads.................................................................72
Graph 11: Rating of the Reference Entities OverTime................................................74
Graph 12: Explanatory Power of the Combined Regressions vs. Median Rating.........86
Graph 13: Average CDS/Credit Spread vs. Stock Return Coefficient..........................87
Graph 14: Average CDS/Credit Spread vs. Stock Implied Volatility Coefficient........87
Graph 15: Benchmark CDS per Rating Class..............................................................139
Graph 16: CAAYC, CAASC, CAAR for Downgrade without Prior Watchlisting.....143
Graph 17: CAAYC, CAASC. CAAR for Downgrade with Prior Watchlisting..........145
Graph 18: CAAYC, CAASC, CAAR for Watchlist Negative....................................148
Graph 19: CAAYC, CAASC, CAAR for Upgrade without Prior Watchlisting..........150
Graph 20: CAAYC, CAASC. CAAR for Upgrade with Prior Watchlisting...............152
Graph 21: CAAYC, CAASC, CAAR for Watchlist Positive......................................154
Table 1: Instruments of Credit Risk Transfer................................................................10
Table 2: Cash Flows in Case of No Default..................................................................44
Table 3: Key Basis Drivers............................................................................................46
Table 4: Empirical Papers about the Determinants of Credit and CDS Spreads...........57
Table 5: Theoretical determinants of credit spread and CDS spread changes..............68
Table 6: Correlation between interest rate, CDS spread and credit spread levels.........75
Table 7: Correlation between interest rate, CDS spread and credit spread changes.....76
VIII Table of Contents
Table 8: Separate Regressions - Equity Market Variables............................................78
Table 9: Separate Regressions - Interest Rate Variables...............................................80
Table 10: Separate Regressions - Macroeconomic Variables.......................................80
Table 11: Combined Regressions - Regression Results................................................82
Table 12: Combined Regressions - Regression Results (Robustness Tests 1)..............89
Table 13: Combined Regressions - Regression Results (Robustness Tests 2)..............91
Table 14: Empirical Papers about the Lead-Lag Relation between Bonds and CDS ... 98
Table 15: Data Set - Descriptive Statistics..................................................................102
Table 16: Results Unit Root Test................................................................................105
Table 17: Test for Optimal Lag Length.......................................................................105
Table 18: Results of the VAR analysis........................................................................106
Table 19: Results of the VAR analysis (Robustness Test)..........................................108
Table 20: Results Johansen Cointegration Tests.........................................................110
Table 21: Results of the Vector Error Correction Model............................................113
Table 22: Gonzalo-Granger and Hasbrouck Measures...............................................115
Table 23: Results Granger Causality Test...................................................................116
Table 24: Price Discovery - Cross-sectional Analysis................................................118
Table 25: Different rating types belonging to same reference entity..........................132
Table 26: Overview of Rating Events by Event Type.................................................136
Table 27: Overview of Rating Events by Year...........................................................136
Table 28: Overview of Rating Events by Rating Agency...........................................136
Table 29: Overview of Rating Events by Region........................................................136
Table 30: Overview Rating Classes............................................................................138
Table 31: Downgrades without Prior Watchlisting.....................................................142
Table 32: Downgrades with Prior Watchlisting..........................................................145
Table 33: Watchlist Negative......................................................................................147
Table 34: Upgrades without Prior Watchlisting..........................................................149
Table 35: Upgrades with Prior Watchlisting...............................................................151
Table 36: Watchlist Positive........................................................................................153
Table 37: Test of Asymmetric Reaction Hypothesis...................................................155
Table 38: Cross-sectional Analysis of CAAYC and CAASC.....................................157
|
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| indexdate | 2024-07-09T21:34:29Z |
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| spelling | Harasta, Balazs 1977- Verfasser (DE-588)137845049 aut The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets submitted by Balazs Harasta 2008 VIII, 194 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier St. Gallen, Univ., Diss., 2008 3567 Aktienmarkt stw Bewertung stw Credit Default Swap stw Finanzderivat stw Kreditmarkt stw Kreditrisiko stw Kreditversicherung stw Rentenmarkt stw Theorie stw Spread (DE-588)4265331-9 gnd rswk-swf Swap (DE-588)4199581-8 gnd rswk-swf Kreditderivat (DE-588)7660453-6 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Kreditrisiko (DE-588)4114309-7 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kreditderivat (DE-588)7660453-6 s Swap (DE-588)4199581-8 s Spread (DE-588)4265331-9 s DE-604 Kreditrisiko (DE-588)4114309-7 s Derivat Wertpapier (DE-588)4381572-8 s DE-188 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017325657&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Harasta, Balazs 1977- The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets Aktienmarkt stw Bewertung stw Credit Default Swap stw Finanzderivat stw Kreditmarkt stw Kreditrisiko stw Kreditversicherung stw Rentenmarkt stw Theorie stw Spread (DE-588)4265331-9 gnd Swap (DE-588)4199581-8 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| subject_GND | (DE-588)4265331-9 (DE-588)4199581-8 (DE-588)7660453-6 (DE-588)4381572-8 (DE-588)4114309-7 (DE-588)4113937-9 |
| title | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets |
| title_auth | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets |
| title_exact_search | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets |
| title_full | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets submitted by Balazs Harasta |
| title_fullStr | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets submitted by Balazs Harasta |
| title_full_unstemmed | The determinants of the price of credit risk an empirical analysis of the CDS, bond and equity markets submitted by Balazs Harasta |
| title_short | The determinants of the price of credit risk |
| title_sort | the determinants of the price of credit risk an empirical analysis of the cds bond and equity markets |
| title_sub | an empirical analysis of the CDS, bond and equity markets |
| topic | Aktienmarkt stw Bewertung stw Credit Default Swap stw Finanzderivat stw Kreditmarkt stw Kreditrisiko stw Kreditversicherung stw Rentenmarkt stw Theorie stw Spread (DE-588)4265331-9 gnd Swap (DE-588)4199581-8 gnd Kreditderivat (DE-588)7660453-6 gnd Derivat Wertpapier (DE-588)4381572-8 gnd Kreditrisiko (DE-588)4114309-7 gnd |
| topic_facet | Aktienmarkt Bewertung Credit Default Swap Finanzderivat Kreditmarkt Kreditrisiko Kreditversicherung Rentenmarkt Theorie Spread Swap Kreditderivat Derivat Wertpapier Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=017325657&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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