A value-at-risk analysis of credit default swaps

We investigate the risk of holding credit default swaps (CDSs) in the trading book and compare the value-at-risk (VaR) of a CDS position with the VaR for investing in the respective firm's equity using a sample of CDS-stock price pairs for eighty-six actively traded firms over the period from M...

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Bibliographic details
Volume: 13
Main Author: Raunig, Burkhard
Scheicher, Martin
Format: Journal Article
Language: English
Place of publication: LONDON INCISIVE MEDIA 01.06.2011
Incisive Media Limited
published in: The journal of risk Vol. 13; no. 4; pp. 3 - 29
Data of publication: 2011-06-01
ISSN: 1465-1211
EISSN: 1755-2842
Discipline: Business
Online Access: available in Bonn?
Database: Social Sciences Citation Index
Web of Science - Social Sciences Citation Index - 2011
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