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http://hdl.handle.net/10419/27861
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| Title: | | The dynamics of short- and long-term CDS-spreads of banks  |
| Authors: | | Almer, Thomas Heidorn, Thomas Schmaltz, Christian |
| Issue Date: | | 2008 |
| Series/Report no.: | | Working paper series // Frankfurt School of Finance & Management 95 |
| Abstract: | | This paper studies 'Stylised Facts' and 'Determinants' of short-and long-term CDS-spreads of banks. As short-term spreads we choose 6M-, as long-term spreads we choose 5Y-spreads. In the section 'Stylised Facts' we found that the correlation between short-and long-term spreads for the total period is high (97%). However, the correlation in sub-periods varies across all possible correlations. Particularly, spreads can have negative correlation. In contrast to [Covitz and Downing, 2007], we find high positive (Covitz/Downing: high negative) correlation for turbulent market circumstances. In the section 'Deteminants' we confirm the Merton-factors (stock price, stock price volatility, interest rate level) for the 5Y-segment, but not for the 6M-segment. Furthermore, we do not find any empirical support that short-term spreads are particularly sensitive to illiquidity factors. In that sense, we also contrast [Covitz and Downing, 2007]. |
| Subjects: | | Liquidity insolvency banks |
| JEL: | | G32 |
| Persistent Identifier of the first edition: | | urn:nbn:de:101:1-2008090112 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management
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