RT Generic
T1 Pairing market risk with credit risk
A1 Figuerola-Ferretti, Isabel
A1 Paraskevopoulos, Ioannis
A2 Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, 
AB This paper uses an exclusive proprietary data set of European Credit Derivatives and VIXmarkets, covering a sample of 5 to 7 years, to study the nature of the link between creditrisk and market risk, widely acknowledged in the academic literature. This allows us toestablish cointegration in the VIX and iTraxx/CDS markets in a framework wherearbitrageurs exploit temporary equilibrium mispricing following pairs strategies.Expected profits, defined in terms of VECM parameters, are positive for all VIX-iTraxxpairs strategies considered. Markets are integrated in that price discovery on both sides ofthe Atlantic reflect the same underlying information with predominant price leadership ofthe VIX market over the European CDS market.
YR 2011
FD 2011-02
LK https://hdl.handle.net/10016/10194
UL https://hdl.handle.net/10016/10194
LA eng
DS e-Archivo
RD 23 may. 2024