On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis
The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced fo...
Gespeichert in:
| Veröffentlicht in: | Finance a úvěr 2016-01, Vol.66 (6), p.510 |
|---|---|
| Hauptverfasser: | , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | |
|---|---|
| container_issue | 6 |
| container_start_page | 510 |
| container_title | Finance a úvěr |
| container_volume | 66 |
| creator | Buzková, Petra Kopa, Milos |
| description | The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced form valuation model in the 2009-2013 period. We look for a breakpoint in the single-equation and multi-equation econometric models in order to show the changes in relationships between the CDS market and model prices. Our results differ according to the risk profile of a country. We find that in the case of riskier countries, the relationship between the market and model price changed when market participants started to question the ability of CDS contracts to protect their buyers. Specifically, it weakened after the change. In the case of less risky countries, the change happened earlier and the effect of a weakened relationship is not observed. |
| format | Article |
| fullrecord | <record><control><sourceid>proquest</sourceid><recordid>TN_cdi_proquest_journals_1852701647</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><sourcerecordid>4286554941</sourcerecordid><originalsourceid>FETCH-LOGICAL-g247t-37b96ddc3a4c1dd230e7695603621952afb6ea982802552a2c5a72c8167698473</originalsourceid><addsrcrecordid>eNotjV1LwzAYhYMoWDf_Q8DrQPLms5dS5wdMCrpdj7RJZ0ZpZ5Ii_nuDenU48DznXKAKhBJEK8MvUUUpk4TVQK_RTUonSoXRRlaobSecPzx-82OwXRhD_sbzgC1uonch4wc_2GXM-P3LnnEzTznaPmO3xDAdf8XN675AXS5CSCGt0dVgx-Rv_3OF9o-bXfNMtu3TS3O_JUcQOhOuu1o513MreuYccOq1qqWiXAGrJdihU97WBgwFWSr00mroDVMFM0LzFbr72z3H-XPxKR9O8xKncnlgRoKmTBXqB5prSQo</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>1852701647</pqid></control><display><type>article</type><title>On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis</title><source>Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals</source><source>EBSCOhost Business Source Complete</source><creator>Buzková, Petra ; Kopa, Milos</creator><creatorcontrib>Buzková, Petra ; Kopa, Milos</creatorcontrib><description>The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced form valuation model in the 2009-2013 period. We look for a breakpoint in the single-equation and multi-equation econometric models in order to show the changes in relationships between the CDS market and model prices. Our results differ according to the risk profile of a country. We find that in the case of riskier countries, the relationship between the market and model price changed when market participants started to question the ability of CDS contracts to protect their buyers. Specifically, it weakened after the change. In the case of less risky countries, the change happened earlier and the effect of a weakened relationship is not observed.</description><identifier>ISSN: 0015-1920</identifier><identifier>EISSN: 2464-7683</identifier><language>eng</language><publisher>Prague: Charles University, Faculty of Social Sciences</publisher><subject>Bailouts ; Bond issues ; Credit default swaps ; Debt restructuring ; Derivatives ; Market prices ; Sovereign debt</subject><ispartof>Finance a úvěr, 2016-01, Vol.66 (6), p.510</ispartof><rights>Copyright Charles University, Faculty of Social Sciences 2016</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><link.rule.ids>315,781,785</link.rule.ids></links><search><creatorcontrib>Buzková, Petra</creatorcontrib><creatorcontrib>Kopa, Milos</creatorcontrib><title>On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis</title><title>Finance a úvěr</title><description>The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced form valuation model in the 2009-2013 period. We look for a breakpoint in the single-equation and multi-equation econometric models in order to show the changes in relationships between the CDS market and model prices. Our results differ according to the risk profile of a country. We find that in the case of riskier countries, the relationship between the market and model price changed when market participants started to question the ability of CDS contracts to protect their buyers. Specifically, it weakened after the change. In the case of less risky countries, the change happened earlier and the effect of a weakened relationship is not observed.</description><subject>Bailouts</subject><subject>Bond issues</subject><subject>Credit default swaps</subject><subject>Debt restructuring</subject><subject>Derivatives</subject><subject>Market prices</subject><subject>Sovereign debt</subject><issn>0015-1920</issn><issn>2464-7683</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2016</creationdate><recordtype>article</recordtype><sourceid>ABUWG</sourceid><sourceid>AFKRA</sourceid><sourceid>BENPR</sourceid><sourceid>CCPQU</sourceid><sourceid>DWQXO</sourceid><recordid>eNotjV1LwzAYhYMoWDf_Q8DrQPLms5dS5wdMCrpdj7RJZ0ZpZ5Ii_nuDenU48DznXKAKhBJEK8MvUUUpk4TVQK_RTUonSoXRRlaobSecPzx-82OwXRhD_sbzgC1uonch4wc_2GXM-P3LnnEzTznaPmO3xDAdf8XN675AXS5CSCGt0dVgx-Rv_3OF9o-bXfNMtu3TS3O_JUcQOhOuu1o513MreuYccOq1qqWiXAGrJdihU97WBgwFWSr00mroDVMFM0LzFbr72z3H-XPxKR9O8xKncnlgRoKmTBXqB5prSQo</recordid><startdate>20160101</startdate><enddate>20160101</enddate><creator>Buzková, Petra</creator><creator>Kopa, Milos</creator><general>Charles University, Faculty of Social Sciences</general><scope>0U~</scope><scope>1-H</scope><scope>3V.</scope><scope>7WY</scope><scope>7WZ</scope><scope>7XB</scope><scope>87Z</scope><scope>8FK</scope><scope>8FL</scope><scope>ABUWG</scope><scope>AFKRA</scope><scope>BENPR</scope><scope>BEZIV</scope><scope>BYOGL</scope><scope>CCPQU</scope><scope>DWQXO</scope><scope>FRNLG</scope><scope>F~G</scope><scope>K60</scope><scope>K6~</scope><scope>L.-</scope><scope>L.0</scope><scope>M0C</scope><scope>PQBIZ</scope><scope>PQBZA</scope><scope>PQEST</scope><scope>PQQKQ</scope><scope>PQUKI</scope><scope>PRINS</scope><scope>Q9U</scope></search><sort><creationdate>20160101</creationdate><title>On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis</title><author>Buzková, Petra ; Kopa, Milos</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-g247t-37b96ddc3a4c1dd230e7695603621952afb6ea982802552a2c5a72c8167698473</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2016</creationdate><topic>Bailouts</topic><topic>Bond issues</topic><topic>Credit default swaps</topic><topic>Debt restructuring</topic><topic>Derivatives</topic><topic>Market prices</topic><topic>Sovereign debt</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Buzková, Petra</creatorcontrib><creatorcontrib>Kopa, Milos</creatorcontrib><collection>Global News & ABI/Inform Professional</collection><collection>Trade PRO</collection><collection>ProQuest Central (Corporate)</collection><collection>Access via ABI/INFORM (ProQuest)</collection><collection>ABI/INFORM Global (PDF only)</collection><collection>ProQuest Central (purchase pre-March 2016)</collection><collection>ABI/INFORM Global (Alumni Edition)</collection><collection>ProQuest Central (Alumni) (purchase pre-March 2016)</collection><collection>ABI/INFORM Collection (Alumni Edition)</collection><collection>ProQuest Central (Alumni Edition)</collection><collection>ProQuest Central UK/Ireland</collection><collection>ProQuest Central</collection><collection>Business Premium Collection</collection><collection>East Europe, Central Europe Database</collection><collection>ProQuest One Community College</collection><collection>ProQuest Central Korea</collection><collection>Business Premium Collection (Alumni)</collection><collection>ABI/INFORM Global (Corporate)</collection><collection>ProQuest Business Collection (Alumni Edition)</collection><collection>ProQuest Business Collection</collection><collection>ABI/INFORM Professional Advanced</collection><collection>ABI/INFORM Professional Standard</collection><collection>ABI/INFORM Global</collection><collection>ProQuest One Business</collection><collection>ProQuest One Business (Alumni)</collection><collection>ProQuest One Academic Eastern Edition (DO NOT USE)</collection><collection>ProQuest One Academic</collection><collection>ProQuest One Academic UKI Edition</collection><collection>ProQuest Central China</collection><collection>ProQuest Central Basic</collection><jtitle>Finance a úvěr</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Buzková, Petra</au><au>Kopa, Milos</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis</atitle><jtitle>Finance a úvěr</jtitle><date>2016-01-01</date><risdate>2016</risdate><volume>66</volume><issue>6</issue><spage>510</spage><pages>510-</pages><issn>0015-1920</issn><eissn>2464-7683</eissn><abstract>The reliability of the credit default swap market was questioned repeatedly during the EMU debt crisis. This article examines whether this development influenced sovereign EMU CDS prices in general. We regress the CDS market price on a model risk neutral CDS price obtained from an adopted reduced form valuation model in the 2009-2013 period. We look for a breakpoint in the single-equation and multi-equation econometric models in order to show the changes in relationships between the CDS market and model prices. Our results differ according to the risk profile of a country. We find that in the case of riskier countries, the relationship between the market and model price changed when market participants started to question the ability of CDS contracts to protect their buyers. Specifically, it weakened after the change. In the case of less risky countries, the change happened earlier and the effect of a weakened relationship is not observed.</abstract><cop>Prague</cop><pub>Charles University, Faculty of Social Sciences</pub></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0015-1920 |
| ispartof | Finance a úvěr, 2016-01, Vol.66 (6), p.510 |
| issn | 0015-1920 2464-7683 |
| language | eng |
| recordid | cdi_proquest_journals_1852701647 |
| source | Elektronische Zeitschriftenbibliothek - Frei zugängliche E-Journals; EBSCOhost Business Source Complete |
| subjects | Bailouts Bond issues Credit default swaps Debt restructuring Derivatives Market prices Sovereign debt |
| title | On the Reliability of a Credit Default Swap Contract during the EMU Debt Crisis |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-13T05%3A33%3A29IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=On%20the%20Reliability%20of%20a%20Credit%20Default%20Swap%20Contract%20during%20the%20EMU%20Debt%20Crisis&rft.jtitle=Finance%20a%20%C3%BAv%C4%9Br&rft.au=Buzkov%C3%A1,%20Petra&rft.date=2016-01-01&rft.volume=66&rft.issue=6&rft.spage=510&rft.pages=510-&rft.issn=0015-1920&rft.eissn=2464-7683&rft_id=info:doi/&rft_dat=%3Cproquest%3E4286554941%3C/proquest%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=1852701647&rft_id=info:pmid/&rfr_iscdi=true |